V-Lab
iShares Nasdaq Premium Income Active ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
21.89%
decreased by 0.32%
1 Week
21.71%
decreased by 0.50%
1 Month
21.29%
decreased by 0.92%
Analysis last updated: Saturday, July 25, 2026 at 02:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 3, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 13.77 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 | 1.7047 | 6.17*** |
α ARCH Response to squared shocks | 0.0507 | 2.73*** |
β GARCH Volatility persistence | 0.9155 | 9.99*** |
ν DF Student-t tail thickness | 13.7681 | 0.14 |
Persistence:
0.915
Half-life:
8 days
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