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V-Lab

S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

55.13%

decreased by 2.35%

1 Week

54.98%

decreased by 2.50%

1 Month

54.40%

decreased by 3.08%

Analysis last updated: Friday, August 7, 2026 at 11:12 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of S&P GSCI Petroleum Spot Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 7, 2026

Model Insight

With persistence 0.995, volatility shocks have a half-life of 136 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.5843
5.05***
α

ARCH

Response to squared shocks

0.0560
51.67***
β

GARCH

Volatility persistence

0.9949
1,002.96***
ν

DF

Student-t tail thickness

6.5866
8.28***

Persistence:

0.995

Half-life:

136 days