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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 1991 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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