COMEX Silver GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
36.93%
1 Week
36.86%
1 Month
36.59%
Analysis last updated: Friday, October 30, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 23, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.36 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.7209 | 1.38 |
| αscore | 0.0420 | 10.76*** |
| βpersistence | 0.9939 | 221.31*** |
| νDF | 4.3591 | 4.09*** |
0.994
Persistence114d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.7209 | 1.38 |
α score Weight on the scaled score | 0.0420 | 10.76*** |
β persistence Volatility persistence | 0.9939 | 221.31*** |
ν DF Student-t tail thickness | 4.3591 | 4.09*** |
Persistence:
0.994
Half-life:
114 days
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