NASDAQ 100 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
15.32%
1 Week
15.54%
1 Month
16.32%
Analysis last updated: Tuesday, October 13, 2026 at 12:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 9, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 94 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 = 9.36 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.7142 | 1.59 |
| αARCH | 0.0791 | 9.92*** |
| βGARCH | 0.9926 | 187.32*** |
| νDF | 9.3561 | 1.43 |
0.993
Persistence94d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7142 | 1.59 |
α ARCH Response to squared shocks | 0.0791 | 9.92*** |
β GARCH Volatility persistence | 0.9926 | 187.32*** |
ν DF Student-t tail thickness | 9.3561 | 1.43 |
Persistence:
0.993
Half-life:
94 days
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