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V-Lab

S&P GSCI Wheat Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

29.45%

decreased by 0.42%

1 Week

29.39%

decreased by 0.48%

1 Month

29.19%

decreased by 0.68%

Analysis last updated: Monday, July 20, 2026 at 11:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of S&P GSCI Wheat Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 17, 2026

Model 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 = 11.80 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.7723
14.33***
α

ARCH

Response to squared shocks

0.0461
33.23***
β

GARCH

Volatility persistence

0.9906
1,572.34***
ν

DF

Student-t tail thickness

11.7984
3.19***

Persistence:

0.991

Half-life:

73 days