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V-Lab

Invesco Bloomberg Enhanced Fallen Angels ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

4.21%

decreased by 0.22%

1 Week

4.30%

decreased by 0.13%

1 Month

4.63%

increased by 0.20%

Analysis last updated: Saturday, July 25, 2026 at 02:26 AM UTC

Date Range:

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to

6M ·

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2Y ·

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graph of Invesco Bloomberg Enhanced Fallen Angels ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 15, 2007 to Jul 24, 2026

Model Insight

With persistence 0.997, volatility shocks have a half-life of 210 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.01 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.5256
7.43***
α

ARCH

Response to squared shocks

0.1275
72.14***
β

GARCH

Volatility persistence

0.9967
2,473.22***
ν

DF

Student-t tail thickness

6.0064
16.56***

Persistence:

0.997

Half-life:

210 days