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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Invesco MSCI Sustainable Future ETF Fund GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 24, 2006 to Jul 17, 2026

Model 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

ParameterValuet-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