V-Lab
NASDAQ 100 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
22.10%
decreased by 1.21%
1 Week
22.17%
decreased by 1.14%
1 Month
22.42%
decreased by 0.89%
Analysis last updated: Saturday, August 15, 2026 at 12:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 95 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.37 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 | 2.7487 | 6.32*** |
α ARCH Response to squared shocks | 0.0790 | 39.84*** |
β GARCH Volatility persistence | 0.9928 | 760.15*** |
ν DF Student-t tail thickness | 9.3724 | 5.74*** |
Persistence:
0.993
Half-life:
95 days
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