Motley Fool Innovative Growth Factor ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
15.31%
decreased by 0.38%
1 Week
15.62%
decreased by 0.07%
1 Month
16.26%
increased by 0.57%
Analysis last updated: Tuesday, July 21, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. Returns follow a Student-t distribution with v = 200.00 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 | 1.1310 | 12.26*** |
α ARCH Response to squared shocks | 0.0717 | 1.60 |
β GARCH Volatility persistence | 0.8947 | 24.97*** |
ν DF Student-t tail thickness | 200.0000 | 0.01 |
Persistence:
0.895
Half-life:
6 days
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