S&P GSCI Sugar Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
31.70%
1 Week
31.69%
1 Month
31.66%
Analysis last updated: Wednesday, October 7, 2026 at 11:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 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 = 7.16 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7426 | 1.76* |
| αARCH | 0.0286 | 9.72*** |
| βGARCH | 0.9960 | 385.88*** |
| νDF | 7.1552 | 1.58 |
0.996
Persistence171d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7426 | 1.76* |
α ARCH Response to squared shocks | 0.0286 | 9.72*** |
β GARCH Volatility persistence | 0.9960 | 385.88*** |
ν DF Student-t tail thickness | 7.1552 | 1.58 |
Persistence:
0.996
Half-life:
171 days
Other S&P GSCI Sugar Index Analyses
Other GAS-GARCH Student T Analyses on Commodities