Dow Jones Composite Average GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
10.85%
decreased by 0.48%
1 Week
11.06%
decreased by 0.27%
1 Month
11.77%
increased by 0.44%
Analysis last updated: Tuesday, October 13, 2026 at 12:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 41 trading days, meaning a shock loses half its impact after approximately 41 days. Returns follow a Student-t distribution with v = 7.90 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 41-day half-lifev = 7.90 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0119 | 2.38** |
| αARCH | 0.0861 | 8.58*** |
| βGARCH | 0.9832 | 126.42*** |
| νDF | 7.9004 | 1.42 |
0.983
Persistence41d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0119 | 2.38** |
α ARCH Response to squared shocks | 0.0861 | 8.58*** |
β GARCH Volatility persistence | 0.9832 | 126.42*** |
ν DF Student-t tail thickness | 7.9004 | 1.42 |
Persistence:
0.983
Half-life:
41 days
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