S&P GSCI Natural Gas Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
40.82%
decreased by 0.54%
1 Week
41.14%
decreased by 0.22%
1 Month
42.28%
increased by 0.92%
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 7, 1994 to Oct 30, 2026Model Insight
Volatility shocks decay with a half-life of 65 trading days, meaning a shock loses half its impact after approximately 65 days. Returns follow a Student-t distribution with v = 10.69 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 65-day half-lifev = 10.69 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 11.6381 | 3.17*** |
| αscore | 0.0694 | 9.91*** |
| βpersistence | 0.9894 | 295.44*** |
| νDF | 10.6919 | 1.17 |
0.989
Persistence65d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 11.6381 | 3.17*** |
α score Weight on the scaled score | 0.0694 | 9.91*** |
β persistence Volatility persistence | 0.9894 | 295.44*** |
ν DF Student-t tail thickness | 10.6919 | 1.17 |
Persistence:
0.989
Half-life:
65 days
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