V-Lab
S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
43.75%
decreased by 1.79%
1 Week
43.69%
decreased by 1.85%
1 Month
43.44%
decreased by 2.10%
Analysis last updated: Friday, August 21, 2026 at 11:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 132 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 = 6.58 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 | 5.4893 | 5.08*** |
α ARCH Response to squared shocks | 0.0560 | 51.06*** |
β GARCH Volatility persistence | 0.9948 | 973.36*** |
ν DF Student-t tail thickness | 6.5848 | 8.17*** |
Persistence:
0.995
Half-life:
132 days
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