S&P GSCI Lead Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
14.42%
increased by 0.30%
1 Week
14.52%
increased by 0.40%
1 Month
14.91%
increased by 0.79%
Analysis last updated: Thursday, July 16, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 6, 1995 to Jul 10, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 264 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.95 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 | 3.0587 | 5.85*** |
α ARCH Response to squared shocks | 0.0325 | 47.64*** |
β GARCH Volatility persistence | 0.9974 | 2,277.13*** |
ν DF Student-t tail thickness | 6.9475 | 8.46*** |
Persistence:
0.997
Half-life:
264 days
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