V-Lab
S&P GSCI Heating Oil Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
46.30%
decreased by 1.68%
1 Week
46.25%
decreased by 1.73%
1 Month
46.06%
decreased by 1.92%
Analysis last updated: Friday, August 14, 2026 at 11:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 171 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 = 7.42 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 | 6.3071 | 5.77*** |
α ARCH Response to squared shocks | 0.0540 | 54.55*** |
β GARCH Volatility persistence | 0.9960 | 1,439.24*** |
ν DF Student-t tail thickness | 7.4189 | 8.14*** |
Persistence:
0.996
Half-life:
171 days
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