Dow Jones Industrial Average GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
11.40%
increased by 0.63%
1 Week
11.57%
increased by 0.80%
1 Month
12.17%
increased by 1.40%
Analysis last updated: Saturday, October 10, 2026 at 02:27 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 55 trading days, meaning a shock loses half its impact after approximately 55 days. Returns follow a Student-t distribution with v = 7.06 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 55-day half-lifev = 7.06 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1460 | 1.73* |
| αARCH | 0.0869 | 9.15*** |
| βGARCH | 0.9875 | 127.78*** |
| νDF | 7.0564 | 1.78* |
0.988
Persistence55d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1460 | 1.73* |
α ARCH Response to squared shocks | 0.0869 | 9.15*** |
β GARCH Volatility persistence | 0.9875 | 127.78*** |
ν DF Student-t tail thickness | 7.0564 | 1.78* |
Persistence:
0.988
Half-life:
55 days
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