V-Lab
S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
37.90%
1 Week
37.89%
1 Month
37.86%
Analysis last updated: Wednesday, September 9, 2026 at 11:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 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.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.4556 | 1.27 |
| αARCH | 0.0560 | 12.73*** |
| βGARCH | 0.9947 | 240.68*** |
| νDF | 6.5870 | 2.03** |
0.995
Persistence131d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4556 | 1.27 |
α ARCH Response to squared shocks | 0.0560 | 12.73*** |
β GARCH Volatility persistence | 0.9947 | 240.68*** |
ν DF Student-t tail thickness | 6.5870 | 2.03** |
Persistence:
0.995
Half-life:
131 days
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