V-Lab
Calamos S&P 500 ST AL PR ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
1.13%
decreased by 0.02%
1 Week
1.18%
increased by 0.03%
1 Month
1.37%
increased by 0.22%
Analysis last updated: Wednesday, August 26, 2026 at 02:19 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 2025 to Aug 21, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.29 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 | 0.2504 | 5.98*** |
α ARCH Response to squared shocks | 0.1111 | 23.73*** |
β GARCH Volatility persistence | 0.9990 | 3,352.35*** |
ν DF Student-t tail thickness | 4.2876 | 6.04*** |
Persistence:
0.999
Half-life:
693 days
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