V-Lab
S&P GSCI Unleaded Gasoline Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
39.40%
increased by 0.07%
1 Week
39.37%
increased by 0.04%
1 Month
39.26%
decreased by 0.07%
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 0.993, volatility shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.78 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 | 5.4608 | 6.99*** |
α ARCH Response to squared shocks | 0.0529 | 44.14*** |
β GARCH Volatility persistence | 0.9931 | 1,038.85*** |
ν DF Student-t tail thickness | 7.7826 | 5.78*** |
Persistence:
0.993
Half-life:
101 days
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