V-Lab
Innovator Growth-100 Dual Directional 5 Buffer ETF - Quarterly GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
6.48%
decreased by 0.22%
1 Week
6.56%
decreased by 0.14%
1 Month
6.88%
increased by 0.18%
Analysis last updated: Saturday, August 22, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2026 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 53 trading days, meaning a shock loses half its impact after approximately 53 days. Returns follow a Student-t distribution with v = 4.90 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 | 0.3433 | 5.74*** |
α ARCH Response to squared shocks | 0.2740 | 26.40*** |
β GARCH Volatility persistence | 0.9871 | 386.78*** |
ν DF Student-t tail thickness | 4.8993 | 5.44*** |
Persistence:
0.987
Half-life:
53 days
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