Gold Troy Ounce GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
20.30%
1 Week
20.21%
1 Month
19.89%
Analysis last updated: Sunday, November 8, 2026 at 02:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 27, 2013 to Nov 6, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 86 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 = 5.45 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.1119 | 1.25 |
| αscore | 0.0568 | 8.50*** |
| βpersistence | 0.9919 | 147.50*** |
| νDF | 5.4461 | 1.67* |
0.992
Persistence86d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.1119 | 1.25 |
α score Weight on the scaled score | 0.0568 | 8.50*** |
β persistence Volatility persistence | 0.9919 | 147.50*** |
ν DF Student-t tail thickness | 5.4461 | 1.67* |
Persistence:
0.992
Half-life:
86 days
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