V-Lab
Grayscale Dogecoin Trust Doge ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
85.33%
increased by 4.92%
1 Week
85.05%
increased by 4.64%
1 Month
84.14%
increased by 3.73%
Analysis last updated: Tuesday, September 8, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 24, 2025 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 24 trading days, meaning a shock loses half its impact after approximately 24 days. Returns follow a Student-t distribution with v = 5.22 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 24-day half-lifev = 5.22 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 25.6188 | 0.81 |
| αARCH | 0.1020 | 2.27** |
| βGARCH | 0.9710 | 33.48*** |
| νDF | 5.2201 | 0.47 |
0.971
Persistence24d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 25.6188 | 0.81 |
α ARCH Response to squared shocks | 0.1020 | 2.27** |
β GARCH Volatility persistence | 0.9710 | 33.48*** |
ν DF Student-t tail thickness | 5.2201 | 0.47 |
Persistence:
0.971
Half-life:
24 days
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