S&P GSCI Agricultural Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
15.69%
decreased by 0.34%
1 Week
15.72%
decreased by 0.31%
1 Month
15.83%
decreased by 0.20%
Analysis last updated: Friday, October 16, 2026 at 11:52 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 72 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.990, shock half-life ~72 daysv = 10.20 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1658 | 2.83*** |
| αARCH | 0.0514 | 8.73*** |
| βGARCH | 0.9905 | 270.03*** |
| νDF | 10.1979 | 0.98 |
0.990
Persistence72d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1658 | 2.83*** |
α ARCH Response to squared shocks | 0.0514 | 8.73*** |
β GARCH Volatility persistence | 0.9905 | 270.03*** |
ν DF Student-t tail thickness | 10.1979 | 0.98 |
Persistence:
0.990
Half-life:
72 days
Other S&P GSCI Agricultural Spot Index Analyses
Other GAS-GARCH Student T Analyses on Commodities