V-Lab
ICE BofA US Corporate Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
4.50%
decreased by 0.03%
1 Week
4.50%
decreased by 0.03%
1 Month
4.52%
decreased by 0.01%
Analysis last updated: Tuesday, August 25, 2026 at 02:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.96 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 | 0.0910 | 11.02*** |
α ARCH Response to squared shocks | 0.0380 | 36.42*** |
β GARCH Volatility persistence | 0.9921 | 1,262.23*** |
ν DF Student-t tail thickness | 8.9612 | 4.19*** |
Persistence:
0.992
Half-life:
88 days
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