V-Lab
CBOE Realized Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
39.77%
increased by 0.24%
1 Week
39.76%
increased by 0.23%
1 Month
39.75%
increased by 0.22%
Analysis last updated: Friday, July 24, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 230 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.06 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 | 6.1341 | 5.84*** |
α ARCH Response to squared shocks | 0.0034 | 5.05*** |
β GARCH Volatility persistence | 0.9970 | 1,175.70*** |
ν DF Student-t tail thickness | 3.0642 | 8.91*** |
Persistence:
0.997
Half-life:
230 days
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