V-Lab
CBOE S&P 500 Left Tail Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
186.48%
increased by 18.06%
1 Week
190.82%
increased by 22.40%
1 Month
204.96%
increased by 36.54%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2006 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 28 trading days, meaning a shock loses half its impact after approximately 28 days. Returns follow a Student-t distribution with v = 3.86 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 28-day half-lifev = 3.86 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 275.5286 | 1.28 |
| αARCH | 0.1059 | 8.15*** |
| βGARCH | 0.9758 | 54.03*** |
| νDF | 3.8644 | 3.51*** |
0.976
Persistence28d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 275.5286 | 1.28 |
α ARCH Response to squared shocks | 0.1059 | 8.15*** |
β GARCH Volatility persistence | 0.9758 | 54.03*** |
ν DF Student-t tail thickness | 3.8644 | 3.51*** |
Persistence:
0.976
Half-life:
28 days
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