V-Lab
S&P GSCI Nickel Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
19.65%
decreased by 0.48%
1 Week
19.88%
decreased by 0.25%
1 Month
20.77%
increased by 0.64%
Analysis last updated: Friday, August 28, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 8, 1993 to Aug 28, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 98 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 | 4.2064 | 1.56 |
α ARCH Response to squared shocks | 0.0390 | 10.57*** |
β GARCH Volatility persistence | 0.9929 | 203.35*** |
ν DF Student-t tail thickness | 5.5446 | 2.06** |
Persistence:
0.993
Half-life:
98 days
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