S&P GSCI Nickel Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
22.29%
increased by 1.11%
1 Week
22.47%
increased by 1.29%
1 Month
23.16%
increased by 1.98%
Analysis last updated: Thursday, July 16, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 8, 1993 to Jul 10, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 95 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 = 5.54 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 | 4.2295 | 6.25*** |
α ARCH Response to squared shocks | 0.0391 | 41.68*** |
β GARCH Volatility persistence | 0.9927 | 794.19*** |
ν DF Student-t tail thickness | 5.5388 | 8.12*** |
Persistence:
0.993
Half-life:
95 days
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