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V-Lab

First Trust Indxx Critical Metals ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

37.93%

decreased by 0.85%

1 Week

38.01%

decreased by 0.77%

1 Month

38.24%

decreased by 0.54%

Analysis last updated: Saturday, July 25, 2026 at 02:25 AM UTC

Date Range:

from

to

6M ·

All

graph of First Trust Indxx Critical Metals ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 5, 2025 to Jul 24, 2026

Model Insight

Volatility shocks decay with a half-life of 17 trading days, meaning a shock loses half its impact after approximately 17 days. Returns follow a Student-t distribution with v = 12.70 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

6.0050
2.85***
α

ARCH

Response to squared shocks

0.0365
2.27**
β

GARCH

Volatility persistence

0.9594
17.09***
ν

DF

Student-t tail thickness

12.7003
0.09

Persistence:

0.959

Half-life:

17 days