CBOE Realized Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
39.48%
1 Week
39.48%
1 Month
39.47%
Analysis last updated: Monday, October 26, 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 Oct 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 231 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 = 3.10 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 6.0451 | 1.44 |
| αscore | 0.0033 | 1.20 |
| βpersistence | 0.9970 | 292.20*** |
| νDF | 3.0987 | 2.06** |
0.997
Persistence231d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 6.0451 | 1.44 |
α score Weight on the scaled score | 0.0033 | 1.20 |
β persistence Volatility persistence | 0.9970 | 292.20*** |
ν DF Student-t tail thickness | 3.0987 | 2.06** |
Persistence:
0.997
Half-life:
231 days
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