V-Lab
NASDAQ 100 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
24.60%
decreased by 0.38%
1 Week
24.63%
decreased by 0.35%
1 Month
24.73%
decreased by 0.25%
Analysis last updated: Saturday, July 25, 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 Jul 24, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 96 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 = 9.38 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 | 2.7569 | 6.32*** |
α ARCH Response to squared shocks | 0.0790 | 39.91*** |
β GARCH Volatility persistence | 0.9928 | 763.09*** |
ν DF Student-t tail thickness | 9.3834 | 5.74*** |
Persistence:
0.993
Half-life:
96 days
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