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Gvs S P A GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, September 21st, 2026

1 Day

33.30%

decreased by 0.78%

1 Week

33.80%

decreased by 0.28%

1 Month

35.46%

increased by 1.38%

Analysis last updated: Saturday, September 19, 2026 at 10:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Gvs S P A GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 19, 2020 to Sep 18, 2026

Model Insight

Volatility shocks decay with a half-life of 32 trading days, meaning a shock loses half its impact after approximately 32 days. Returns follow a Student-t distribution with v = 3.43 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 32-day half-lifev = 3.43 · fat tails
ParamValuet-stat
ωconst7.5110
0.74
αARCH0.0573
3.18***
βGARCH0.9783
33.63***
νDF3.4327
1.82*

0.978

Persistence

32d

Half-life
𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

7.5110
0.74
α

ARCH

Response to squared shocks

0.0573
3.18***
β

GARCH

Volatility persistence

0.9783
33.63***
ν

DF

Student-t tail thickness

3.4327
1.82*

Persistence:

0.978

Half-life:

32 days