V-Lab
S&P GSCI Silver Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
49.93%
decreased by 1.27%
1 Week
49.81%
decreased by 1.39%
1 Month
49.35%
decreased by 1.85%
Analysis last updated: Thursday, August 6, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 187 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 | 3.5783 | 5.37*** |
α ARCH Response to squared shocks | 0.0368 | 61.58*** |
β GARCH Volatility persistence | 0.9963 | 1,476.01*** |
ν DF Student-t tail thickness | 3.8905 | 29.93*** |
Persistence:
0.996
Half-life:
187 days
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