V-Lab
Morgan Stanley PHY SM MD ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
17.87%
decreased by 0.03%
1 Week
18.05%
increased by 0.15%
1 Month
18.56%
increased by 0.66%
Analysis last updated: Friday, August 21, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2024 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 5.99 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 | 1.5176 | 3.61*** |
α ARCH Response to squared shocks | 0.0399 | 3.63*** |
β GARCH Volatility persistence | 0.9445 | 52.28*** |
ν DF Student-t tail thickness | 5.9877 | 0.50 |
Persistence:
0.944
Half-life:
12 days
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