V-Lab
MSCI COLCAP Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
16.71%
decreased by 1.98%
1 Week
16.90%
decreased by 1.79%
1 Month
17.55%
decreased by 1.14%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2008 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 26 trading days, meaning a shock loses half its impact after approximately 26 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
Shock decay: Shocks decay with a 26-day half-lifev = 5.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6128 | 1.90* |
| αARCH | 0.1376 | 7.77*** |
| βGARCH | 0.9735 | 70.89*** |
| νDF | 5.7788 | 2.28** |
0.973
Persistence26d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6128 | 1.90* |
α ARCH Response to squared shocks | 0.1376 | 7.77*** |
β GARCH Volatility persistence | 0.9735 | 70.89*** |
ν DF Student-t tail thickness | 5.7788 | 2.28** |
Persistence:
0.973
Half-life:
26 days
Other MSCI COLCAP Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices