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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 2, 2026Model 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
| Parameter | Value | t-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
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