V-Lab
CBOE Realized Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
39.79%
decreased by 0.02%
1 Week
39.78%
decreased by 0.03%
1 Month
39.77%
decreased by 0.04%
Analysis last updated: Friday, August 14, 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 Aug 7, 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 = 3.07 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 | 6.1171 | 5.82*** |
α ARCH Response to squared shocks | 0.0034 | 4.99*** |
β GARCH Volatility persistence | 0.9970 | 1,170.19*** |
ν DF Student-t tail thickness | 3.0693 | 8.78*** |
Persistence:
0.997
Half-life:
231 days
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