Invesco MSCI Sustainable Future ETF Fund GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
17.67%
decreased by 0.61%
1 Week
17.84%
decreased by 0.44%
1 Month
18.47%
increased by 0.19%
Analysis last updated: Monday, July 20, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 24, 2006 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 67 trading days, meaning a shock loses half its impact after approximately 67 days. Returns follow a Student-t distribution with v = 9.54 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 | 2.4288 | 6.96*** |
α ARCH Response to squared shocks | 0.0832 | 31.25*** |
β GARCH Volatility persistence | 0.9897 | 638.54*** |
ν DF Student-t tail thickness | 9.5446 | 4.16*** |
Persistence:
0.990
Half-life:
67 days
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