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V-Lab

S&P GSCI Corn Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

24.37%

decreased by 0.39%

1 Week

24.37%

decreased by 0.39%

1 Month

24.36%

decreased by 0.40%

Analysis last updated: Monday, July 20, 2026 at 11:08 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of S&P GSCI Corn Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 17, 2026

Model Insight

With persistence 0.990, volatility shocks have a half-life of 69 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 = 7.15 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.3274
8.02***
α

ARCH

Response to squared shocks

0.0649
37.61***
β

GARCH

Volatility persistence

0.9901
747.22***
ν

DF

Student-t tail thickness

7.1482
7.53***

Persistence:

0.990

Half-life:

69 days