V-Lab
CME Lumber GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
23.54%
decreased by 0.31%
1 Week
23.78%
decreased by 0.07%
1 Month
24.71%
increased by 0.86%
Analysis last updated: Saturday, August 22, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 5, 2022 to Aug 21, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 497 trading days (~2.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.12 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 | 18.4509 | 10.17*** |
α ARCH Response to squared shocks | 0.0542 | 35.29*** |
β GARCH Volatility persistence | 0.9986 | 3,618.14*** |
ν DF Student-t tail thickness | 3.1198 | 45.50*** |
Persistence:
0.999
Half-life:
497 days
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