V-Lab
FTSE 100 Implied Volatility Index 30 Days GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
105.43%
decreased by 0.62%
1 Week
105.92%
decreased by 0.13%
1 Month
107.20%
increased by 1.15%
Analysis last updated: Friday, September 25, 2026 at 09:06 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2000 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. Returns follow a Student-t distribution with v = 5.42 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 10-day half-lifev = 5.42 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 47.3391 | 3.66*** |
| αARCH | 0.1027 | 6.15*** |
| βGARCH | 0.9312 | 45.09*** |
| νDF | 5.4236 | 1.59 |
0.931
Persistence10d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 47.3391 | 3.66*** |
α ARCH Response to squared shocks | 0.1027 | 6.15*** |
β GARCH Volatility persistence | 0.9312 | 45.09*** |
ν DF Student-t tail thickness | 5.4236 | 1.59 |
Persistence:
0.931
Half-life:
10 days
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