V-Lab
S&P GSCI Sugar Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
30.38%
increased by 1.39%
1 Week
30.38%
increased by 1.39%
1 Month
30.39%
increased by 1.40%
Analysis last updated: Friday, August 28, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 28, 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 = 7.14 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 | 3.7341 | 1.76* |
α ARCH Response to squared shocks | 0.0286 | 9.75*** |
β GARCH Volatility persistence | 0.9960 | 384.69*** |
ν DF Student-t tail thickness | 7.1428 | 1.58 |
Persistence:
0.996
Half-life:
171 days
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