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V-Lab

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

Volatility prediction for Tuesday, July 21st, 2026

1 Day

23.01%

decreased by 0.74%

1 Week

22.96%

decreased by 0.79%

1 Month

22.74%

decreased by 1.01%

Analysis last updated: Monday, July 20, 2026 at 11:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P GSCI Aluminum Spot Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 7, 1991 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 69 trading days, meaning a shock loses half its impact after approximately 69 days. Returns follow a Student-t distribution with v = 7.44 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

1.5683
6.50***
α

ARCH

Response to squared shocks

0.0455
26.24***
β

GARCH

Volatility persistence

0.9900
556.48***
ν

DF

Student-t tail thickness

7.4400
3.93***

Persistence:

0.990

Half-life:

69 days