Skip to main content
V-Lab

S&P 500 Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Thursday, July 9th, 2026

1 Day

12.79%

decreased by 0.64%

1 Week

12.92%

decreased by 0.51%

1 Month

13.39%

decreased by 0.04%

Analysis last updated: Thursday, July 9, 2026 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P 500 Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 2, 2026

Model Insight

With persistence 0.991, volatility shocks have a half-life of 75 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 = 7.02 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

1.3586
5.57***
α

ARCH

Response to squared shocks

0.0859
40.69***
β

GARCH

Volatility persistence

0.9907
551.95***
ν

DF

Student-t tail thickness

7.0151
7.66***

Persistence:

0.991

Half-life:

75 days