V-Lab
Ninepoint Barrick Hghshs ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
52.43%
unchanged at 0.00%
1 Week
52.43%
unchanged at 0.00%
1 Month
52.43%
unchanged at 0.00%
Analysis last updated: Tuesday, September 29, 2026 at 08:58 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 22, 2025 to Sep 28, 2026Hessian SE
Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.58 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.994, shock half-life ~117 daysv = 5.58 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 10.9072 | 0.25 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9941 | 0.53 |
| νDF | 5.5814 | 0.08 |
0.994
Persistence117d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 10.9072 | 0.25 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9941 | 0.53 |
ν DF Student-t tail thickness | 5.5814 | 0.08 |
Persistence:
0.994
Half-life:
117 days
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