S&P GSCI Agricultural Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
20.54%
decreased by 0.62%
1 Week
20.48%
decreased by 0.68%
1 Month
20.26%
decreased by 0.90%
Analysis last updated: Monday, July 20, 2026 at 11:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 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 = 10.14 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 | 1.1743 | 11.19*** |
α ARCH Response to squared shocks | 0.0518 | 34.81*** |
β GARCH Volatility persistence | 0.9905 | 1,076.65*** |
ν DF Student-t tail thickness | 10.1354 | 3.95*** |
Persistence:
0.991
Half-life:
73 days
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