CBOE S&P 500 Left Tail Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
258.38%
increased by 4.56%
1 Week
258.56%
increased by 4.74%
1 Month
259.16%
increased by 5.34%
Analysis last updated: Wednesday, October 21, 2026 at 01:34 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2006 to Oct 16, 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 |
|---|---|---|
| ωlong-run | 273.7468 | 1.28 |
| αscore | 0.1043 | 8.11*** |
| βpersistence | 0.9759 | 54.25*** |
| νDF | 3.8610 | 3.48*** |
0.976
Persistence28d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 273.7468 | 1.28 |
α score Weight on the scaled score | 0.1043 | 8.11*** |
β persistence Volatility persistence | 0.9759 | 54.25*** |
ν DF Student-t tail thickness | 3.8610 | 3.48*** |
Persistence:
0.976
Half-life:
28 days
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