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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 24, 2021 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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