Simplify US Equity PLUS Managed Futures Strategy ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
24.51%
unchanged at 0.00%
1 Week
24.51%
unchanged at 0.00%
1 Month
24.51%
unchanged at 0.00%
Analysis last updated: Tuesday, July 14, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 10, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 592 trading days (~2.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 16.60 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 | 2.3844 | 0.09 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9988 | 0.12 |
ν DF Student-t tail thickness | 16.6004 | 0.01 |
Persistence:
0.999
Half-life:
592 days
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