V-Lab
S&P GSCI Silver Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
43.54%
1 Week
43.45%
1 Month
43.12%
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 186 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 = 3.91 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.5552 | 1.34 |
| αARCH | 0.0367 | 15.41*** |
| βGARCH | 0.9963 | 363.34*** |
| νDF | 3.9051 | 7.35*** |
0.996
Persistence186d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.5552 | 1.34 |
α ARCH Response to squared shocks | 0.0367 | 15.41*** |
β GARCH Volatility persistence | 0.9963 | 363.34*** |
ν DF Student-t tail thickness | 3.9051 | 7.35*** |
Persistence:
0.996
Half-life:
186 days
Other S&P GSCI Silver Index Analyses
Other GAS-GARCH Student T Analyses on Commodities