V-Lab
S&P GSCI Sugar Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
24.45%
increased by 1.09%
1 Week
24.50%
increased by 1.14%
1 Month
24.71%
increased by 1.35%
Analysis last updated: Thursday, August 6, 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 31, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 171 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.15 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 | 3.6906 | 7.03*** |
α ARCH Response to squared shocks | 0.0286 | 39.14*** |
β GARCH Volatility persistence | 0.9960 | 1,529.89*** |
ν DF Student-t tail thickness | 7.1462 | 6.34*** |
Persistence:
0.996
Half-life:
171 days
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