V-Lab
COMEX Silver GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
41.01%
1 Week
40.90%
1 Month
40.48%
Analysis last updated: Saturday, September 19, 2026 at 04:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Sep 18, 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
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7137 | 1.38 |
| αARCH | 0.0418 | 10.81*** |
| βGARCH | 0.9940 | 226.07*** |
| νDF | 4.3165 | 4.25*** |
0.994
Persistence115d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7137 | 1.38 |
α ARCH Response to squared shocks | 0.0418 | 10.81*** |
β GARCH Volatility persistence | 0.9940 | 226.07*** |
ν DF Student-t tail thickness | 4.3165 | 4.25*** |
Persistence:
0.994
Half-life:
115 days
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