S&P GSCI Precious Metals Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
30.99%
increased by 0.09%
1 Week
30.95%
increased by 0.05%
1 Month
30.75%
decreased by 0.15%
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 2, 1990 to Jul 10, 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 = 4.49 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 | 1.4241 | 5.55*** |
α ARCH Response to squared shocks | 0.0375 | 64.35*** |
β GARCH Volatility persistence | 0.9975 | 2,415.27*** |
ν DF Student-t tail thickness | 4.4882 | 27.29*** |
Persistence:
0.998
Half-life:
277 days
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