V-Lab
Innovator Equity Dual Directional 15 Buffer ETF - November GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
3.61%
decreased by 0.17%
1 Week
3.88%
increased by 0.10%
1 Month
4.48%
increased by 0.70%
Analysis last updated: Saturday, July 25, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. Returns follow a Student-t distribution with v = 15.71 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 | 0.1088 | 7.66*** |
α ARCH Response to squared shocks | 0.1362 | 3.67*** |
β GARCH Volatility persistence | 0.9238 | 58.44*** |
ν DF Student-t tail thickness | 15.7114 | 0.44 |
Persistence:
0.924
Half-life:
9 days
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