V-Lab
FT Wilshire 5000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
11.82%
decreased by 0.23%
1 Week
11.97%
decreased by 0.08%
1 Month
12.51%
increased by 0.46%
Analysis last updated: Wednesday, September 2, 2026 at 04:38 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 16, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.46 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.991, shock half-life ~73 daysv = 7.46 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3080 | 1.49 |
| αARCH | 0.0872 | 10.17*** |
| βGARCH | 0.9906 | 144.38*** |
| νDF | 7.4628 | 1.74* |
0.991
Persistence73d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3080 | 1.49 |
α ARCH Response to squared shocks | 0.0872 | 10.17*** |
β GARCH Volatility persistence | 0.9906 | 144.38*** |
ν DF Student-t tail thickness | 7.4628 | 1.74* |
Persistence:
0.991
Half-life:
73 days
Other FT Wilshire 5000 Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices