S&P GSCI Industrial Metals Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
18.19%
decreased by 0.21%
1 Week
18.22%
decreased by 0.18%
1 Month
18.33%
decreased by 0.07%
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 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 200 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.89 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 | 1.9243 | 4.68*** |
α ARCH Response to squared shocks | 0.0424 | 39.78*** |
β GARCH Volatility persistence | 0.9965 | 1,312.97*** |
ν DF Student-t tail thickness | 7.8918 | 5.74*** |
Persistence:
0.997
Half-life:
200 days
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