S&P GSCI Coffee Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
33.78%
decreased by 1.03%
1 Week
33.84%
decreased by 0.97%
1 Month
34.03%
decreased by 0.78%
Analysis last updated: Friday, October 30, 2026 at 11:06 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 30, 2026Model Insight
Volatility shocks decay with a half-life of 45 trading days, meaning a shock loses half its impact after approximately 45 days. Returns follow a Student-t distribution with v = 7.01 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 45-day half-lifev = 7.01 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.0256 | 3.08*** |
| αscore | 0.0469 | 8.50*** |
| βpersistence | 0.9846 | 195.55*** |
| νDF | 7.0138 | 1.28 |
0.985
Persistence45d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.0256 | 3.08*** |
α score Weight on the scaled score | 0.0469 | 8.50*** |
β persistence Volatility persistence | 0.9846 | 195.55*** |
ν DF Student-t tail thickness | 7.0138 | 1.28 |
Persistence:
0.985
Half-life:
45 days
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