V-Lab
Genter Capital TAX Qlty Inmd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
3.59%
decreased by 0.04%
1 Week
3.61%
decreased by 0.02%
1 Month
3.66%
increased by 0.03%
Analysis last updated: Monday, August 24, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 22, 2024 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 8.31 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 | 0.0560 | 3.15*** |
α ARCH Response to squared shocks | 0.0209 | 1.16 |
β GARCH Volatility persistence | 0.9433 | 8.53*** |
ν DF Student-t tail thickness | 8.3085 | 0.13 |
Persistence:
0.943
Half-life:
12 days
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