V-Lab
Blue Owl Capital Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
17.15%
increased by 2.75%
1 Week
17.76%
increased by 3.36%
1 Month
19.38%
increased by 4.98%
Analysis last updated: Friday, October 2, 2026 at 11:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2019 to Oct 2, 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 = 5.58 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 12-day half-lifev = 5.58 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9679 | 1.78* |
| αARCH | 0.1461 | 3.84*** |
| βGARCH | 0.9437 | 30.01*** |
| νDF | 5.5841 | 1.21 |
0.944
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9679 | 1.78* |
α ARCH Response to squared shocks | 0.1461 | 3.84*** |
β GARCH Volatility persistence | 0.9437 | 30.01*** |
ν DF Student-t tail thickness | 5.5841 | 1.21 |
Persistence:
0.944
Half-life:
12 days
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