V-Lab
S&P GSCI Wheat Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.36%
increased by 0.60%
1 Week
31.27%
increased by 0.51%
1 Month
30.95%
increased by 0.19%
Analysis last updated: Friday, July 24, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 11.81 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 | 2.7774 | 14.34*** |
α ARCH Response to squared shocks | 0.0462 | 33.28*** |
β GARCH Volatility persistence | 0.9906 | 1,577.38*** |
ν DF Student-t tail thickness | 11.8095 | 3.19*** |
Persistence:
0.991
Half-life:
73 days
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