V-Lab
CBOE Realized Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
39.86%
1 Week
39.86%
1 Month
39.84%
Analysis last updated: Monday, September 14, 2026 at 03:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Sep 11, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 229 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 = 3.09 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.0731 | 1.44 |
| αARCH | 0.0034 | 1.22 |
| βGARCH | 0.9970 | 296.99*** |
| νDF | 3.0926 | 2.11** |
0.997
Persistence229d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.0731 | 1.44 |
α ARCH Response to squared shocks | 0.0034 | 1.22 |
β GARCH Volatility persistence | 0.9970 | 296.99*** |
ν DF Student-t tail thickness | 3.0926 | 2.11** |
Persistence:
0.997
Half-life:
229 days
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