V-Lab
Interactive Brokers Group Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
36.43%
increased by 2.10%
1 Week
36.44%
increased by 2.11%
1 Month
36.49%
increased by 2.16%
Analysis last updated: Friday, October 2, 2026 at 10:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2007 to Oct 2, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.90 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.992, shock half-life ~82 daysv = 4.90 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.4907 | 0.95 |
| αARCH | 0.0634 | 8.40*** |
| βGARCH | 0.9916 | 113.33*** |
| νDF | 4.9018 | 2.42** |
0.992
Persistence82d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4907 | 0.95 |
α ARCH Response to squared shocks | 0.0634 | 8.40*** |
β GARCH Volatility persistence | 0.9916 | 113.33*** |
ν DF Student-t tail thickness | 4.9018 | 2.42** |
Persistence:
0.992
Half-life:
82 days
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