V-Lab
S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
40.09%
decreased by 1.62%
1 Week
40.06%
decreased by 1.65%
1 Month
39.95%
decreased by 1.76%
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 0.995, volatility shocks have a half-life of 131 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.59 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 | 5.4573 | 1.28 |
α ARCH Response to squared shocks | 0.0561 | 12.72*** |
β GARCH Volatility persistence | 0.9947 | 240.56*** |
ν DF Student-t tail thickness | 6.5871 | 2.03** |
Persistence:
0.995
Half-life:
131 days
Other GAS-GARCH Student T Analyses on Commodities