V-Lab
Eventide International ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
13.51%
increased by 0.49%
1 Week
13.70%
increased by 0.68%
1 Month
14.25%
increased by 1.23%
Analysis last updated: Friday, August 21, 2026 at 10:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 17, 2025 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. Returns follow a Student-t distribution with v = 5.64 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 | 0.9722 | 2.19** |
α ARCH Response to squared shocks | 0.0612 | 2.24** |
β GARCH Volatility persistence | 0.9580 | 50.28*** |
ν DF Student-t tail thickness | 5.6396 | 0.62 |
Persistence:
0.958
Half-life:
16 days
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