Grayscale Dogecoin Trust Doge ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
53.93%
decreased by 2.47%
1 Week
55.65%
decreased by 0.75%
1 Month
60.73%
increased by 4.33%
Analysis last updated: Monday, October 19, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 24, 2025 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 18 trading days, meaning a shock loses half its impact after approximately 18 days. Returns follow a Student-t distribution with v = 5.44 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 18-day half-lifev = 5.44 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 21.8299 | 0.71 |
| αARCH | 0.0969 | 1.67* |
| βGARCH | 0.9623 | 22.18*** |
| νDF | 5.4400 | 0.35 |
0.962
Persistence18d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 21.8299 | 0.71 |
α ARCH Response to squared shocks | 0.0969 | 1.67* |
β GARCH Volatility persistence | 0.9623 | 22.18*** |
ν DF Student-t tail thickness | 5.4400 | 0.35 |
Persistence:
0.962
Half-life:
18 days
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