V-Lab
S&P 100 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
12.25%
1 Week
12.40%
1 Month
12.94%
Analysis last updated: Friday, September 4, 2026 at 11:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 4, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.86 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4661 | 1.30 |
| αARCH | 0.0857 | 10.26*** |
| βGARCH | 0.9916 | 144.04*** |
| νDF | 6.8554 | 2.07** |
0.992
Persistence82d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4661 | 1.30 |
α ARCH Response to squared shocks | 0.0857 | 10.26*** |
β GARCH Volatility persistence | 0.9916 | 144.04*** |
ν DF Student-t tail thickness | 6.8554 | 2.07** |
Persistence:
0.992
Half-life:
82 days
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