V-Lab
NYMEX Palladium GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
42.60%
decreased by 1.67%
1 Week
42.51%
decreased by 1.76%
1 Month
42.16%
decreased by 2.11%
Analysis last updated: Saturday, September 19, 2026 at 04:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 28, 1998 to Sep 18, 2026Model Insight
Volatility shocks decay with a half-life of 51 trading days, meaning a shock loses half its impact after approximately 51 days. Returns follow a Student-t distribution with v = 5.03 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 51-day half-lifev = 5.03 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.0049 | 1.36 |
| αARCH | 0.0700 | 7.95*** |
| βGARCH | 0.9865 | 101.03*** |
| νDF | 5.0309 | 2.28** |
0.986
Persistence51d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.0049 | 1.36 |
α ARCH Response to squared shocks | 0.0700 | 7.95*** |
β GARCH Volatility persistence | 0.9865 | 101.03*** |
ν DF Student-t tail thickness | 5.0309 | 2.28** |
Persistence:
0.986
Half-life:
51 days
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