V-Lab
S&P GSCI Sugar Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
32.02%
1 Week
32.01%
1 Month
31.97%
Analysis last updated: Saturday, September 19, 2026 at 12:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 = 7.17 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7464 | 1.76* |
| αARCH | 0.0287 | 9.73*** |
| βGARCH | 0.9960 | 385.73*** |
| νDF | 7.1674 | 1.58 |
0.996
Persistence171d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7464 | 1.76* |
α ARCH Response to squared shocks | 0.0287 | 9.73*** |
β GARCH Volatility persistence | 0.9960 | 385.73*** |
ν DF Student-t tail thickness | 7.1674 | 1.58 |
Persistence:
0.996
Half-life:
171 days
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