V-Lab
REX AI EQ Premium Income ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
18.97%
decreased by 0.25%
1 Week
19.24%
increased by 0.02%
1 Month
19.93%
increased by 0.71%
Analysis last updated: Friday, July 24, 2026 at 09:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 4, 2024 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. Returns follow a Student-t distribution with v = 5.78 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 | 1.7590 | 5.62*** |
α ARCH Response to squared shocks | 0.1342 | 8.96*** |
β GARCH Volatility persistence | 0.9344 | 86.38*** |
ν DF Student-t tail thickness | 5.7776 | 2.56** |
Persistence:
0.934
Half-life:
10 days
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