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V-Lab

Monarch Blue Chips Elite Index ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

33.58%

decreased by 2.61%

1 Week

33.17%

decreased by 3.02%

1 Month

31.64%

decreased by 4.55%

Analysis last updated: Monday, July 20, 2026 at 09:21 PM UTC

Date Range:

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graph of Monarch Blue Chips Elite Index ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 24, 2021 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days. Returns follow a Student-t distribution with v = 9.64 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.3635
7.87***
α

ARCH

Response to squared shocks

0.0990
17.47***
β

GARCH

Volatility persistence

0.9820
390.14***
ν

DF

Student-t tail thickness

9.6423
2.75***

Persistence:

0.982

Half-life:

38 days