V-Lab
S&P GSCI Silver Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
46.30%
decreased by 1.63%
1 Week
46.20%
decreased by 1.73%
1 Month
45.81%
decreased by 2.12%
Analysis last updated: Friday, August 14, 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 Aug 14, 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 = 3.89 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 | 3.5683 | 5.35*** |
α ARCH Response to squared shocks | 0.0368 | 61.51*** |
β GARCH Volatility persistence | 0.9963 | 1,456.56*** |
ν DF Student-t tail thickness | 3.8943 | 29.62*** |
Persistence:
0.996
Half-life:
186 days
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