V-Lab
S&P GSCI Agricultural Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.01%
decreased by 0.64%
1 Week
18.97%
decreased by 0.68%
1 Month
18.85%
decreased by 0.80%
Analysis last updated: Friday, July 24, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 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 = 10.12 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1706 | 11.20*** |
α ARCH Response to squared shocks | 0.0517 | 34.79*** |
β GARCH Volatility persistence | 0.9905 | 1,073.11*** |
ν DF Student-t tail thickness | 10.1239 | 3.95*** |
Persistence:
0.990
Half-life:
72 days
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