FT Wilshire 5000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
11.82%
1 Week
11.97%
1 Month
12.51%
Analysis last updated: Wednesday, September 2, 2026 at 04:38 PM UTC
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.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.3080 | 1.49 |
| αscore | 0.0872 | 10.17*** |
| βpersistence | 0.9906 | 144.38*** |
| νDF | 7.4628 | 1.74* |
0.991
Persistence73d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.3080 | 1.49 |
α score Weight on the scaled score | 0.0872 | 10.17*** |
β persistence Volatility persistence | 0.9906 | 144.38*** |
ν DF Student-t tail thickness | 7.4628 | 1.74* |
Persistence:
0.991
Half-life:
73 days
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