iShares Nasdaq Premium Income Active ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
22.03%
increased by 1.16%
1 Week
21.80%
increased by 0.93%
1 Month
21.28%
increased by 0.41%
Analysis last updated: Tuesday, July 21, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 3, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 12.67 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 | 1.6983 | 5.92*** |
α ARCH Response to squared shocks | 0.0566 | 2.32** |
β GARCH Volatility persistence | 0.9026 | 9.75*** |
ν DF Student-t tail thickness | 12.6678 | 0.16 |
Persistence:
0.903
Half-life:
7 days
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