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V-Lab

Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

24.24%

unchanged at 0.00%

1 Week

24.24%

unchanged at 0.00%

1 Month

24.24%

unchanged at 0.00%

Analysis last updated: Monday, July 20, 2026 at 09:30 PM UTC

Date Range:

from

to

6M ·

All

graph of Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 25, 2025 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. Returns follow a Student-t distribution with v = 90.65 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.3315
0.67
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.3454
0.01
ν

DF

Student-t tail thickness

90.6510
0.05

Persistence:

0.345

Half-life:

1 days