V-Lab
Morgan Stanley PHY SM MD ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
17.90%
decreased by 0.40%
1 Week
18.12%
decreased by 0.18%
1 Month
18.70%
increased by 0.40%
Analysis last updated: Friday, August 14, 2026 at 02:24 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2024 to Aug 7, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days. Returns follow a Student-t distribution with v = 5.97 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 | 1.5511 | 3.70*** |
α ARCH Response to squared shocks | 0.0401 | 3.48*** |
β GARCH Volatility persistence | 0.9414 | 48.55*** |
ν DF Student-t tail thickness | 5.9683 | 0.48 |
Persistence:
0.941
Half-life:
11 days
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