COMEX Silver GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
37.17%
1 Week
37.10%
1 Month
36.82%
Analysis last updated: Saturday, October 10, 2026 at 04:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 9, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 115 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 = 4.32 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7010 | 1.38 |
| αARCH | 0.0419 | 10.81*** |
| βGARCH | 0.9940 | 222.86*** |
| νDF | 4.3228 | 4.20*** |
0.994
Persistence115d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7010 | 1.38 |
α ARCH Response to squared shocks | 0.0419 | 10.81*** |
β GARCH Volatility persistence | 0.9940 | 222.86*** |
ν DF Student-t tail thickness | 4.3228 | 4.20*** |
Persistence:
0.994
Half-life:
115 days
Other COMEX Silver Analyses
Other GAS-GARCH Student T Analyses on Commodities