V-Lab
S&P / ASX 200 Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
73.24%
decreased by 1.97%
1 Week
78.52%
increased by 3.31%
1 Month
90.77%
increased by 15.56%
Analysis last updated: Friday, August 21, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Apr 4, 2025Model 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 = 4.52 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 | 45.6520 | 9.46*** |
α ARCH Response to squared shocks | 0.0982 | 17.05*** |
β GARCH Volatility persistence | 0.9299 | 119.33*** |
ν DF Student-t tail thickness | 4.5157 | 6.13*** |
Persistence:
0.930
Half-life:
10 days
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