V-Lab
S&P GSCI Precious Metals Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
27.46%
increased by 1.66%
1 Week
27.43%
increased by 1.63%
1 Month
27.29%
increased by 1.49%
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 2, 1990 to Aug 28, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 277 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.50 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 | 1.4161 | 1.38 |
α ARCH Response to squared shocks | 0.0373 | 16.08*** |
β GARCH Volatility persistence | 0.9975 | 598.74*** |
ν DF Student-t tail thickness | 4.5007 | 6.76*** |
Persistence:
0.998
Half-life:
277 days
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