V-Lab
S&P GSCI Heating Oil Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.89%
decreased by 1.63%
1 Week
40.88%
decreased by 1.64%
1 Month
40.84%
decreased by 1.68%
Analysis last updated: Friday, August 21, 2026 at 11:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 167 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.41 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 | 6.2299 | 5.78*** |
α ARCH Response to squared shocks | 0.0541 | 54.18*** |
β GARCH Volatility persistence | 0.9959 | 1,404.59*** |
ν DF Student-t tail thickness | 7.4122 | 8.08*** |
Persistence:
0.996
Half-life:
167 days
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