PIMCO Enhanced Low Duration Active ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
1.73%
decreased by 0.06%
1 Week
1.75%
decreased by 0.04%
1 Month
1.82%
increased by 0.03%
Analysis last updated: Monday, July 20, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2014 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 60 trading days, meaning a shock loses half its impact after approximately 60 days. Returns follow a Student-t distribution with v = 6.16 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0234 | 8.92*** |
α ARCH Response to squared shocks | 0.1074 | 43.07*** |
β GARCH Volatility persistence | 0.9886 | 751.19*** |
ν DF Student-t tail thickness | 6.1642 | 14.57*** |
Persistence:
0.989
Half-life:
60 days
Other PIMCO Enhanced Low Duration Active ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs