KraneShares Public-Private AI & Technology ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
26.55%
increased by 0.17%
1 Week
26.80%
increased by 0.42%
1 Month
27.61%
increased by 1.23%
Analysis last updated: Saturday, October 10, 2026 at 12:15 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2024 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 22 trading days, meaning a shock loses half its impact after approximately 22 days. Returns follow a Student-t distribution with v = 10.52 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 22-day half-lifev = 10.52 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.6940 | 1.89* |
| αARCH | 0.0743 | 1.78* |
| βGARCH | 0.9694 | 53.82*** |
| νDF | 10.5237 | 0.25 |
0.969
Persistence22d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6940 | 1.89* |
α ARCH Response to squared shocks | 0.0743 | 1.78* |
β GARCH Volatility persistence | 0.9694 | 53.82*** |
ν DF Student-t tail thickness | 10.5237 | 0.25 |
Persistence:
0.969
Half-life:
22 days
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