V-Lab
Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
24.10%
unchanged at 0.00%
1 Week
24.10%
unchanged at 0.00%
1 Month
24.10%
unchanged at 0.00%
Analysis last updated: Friday, July 24, 2026 at 09:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 25, 2025 to Jul 24, 2026Hessian SE
Model Insight
With persistence 0.999, volatility shocks have a half-life of 690 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 100.06 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 | 2.3054 | 0.26 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9990 | 1.07 |
ν DF Student-t tail thickness | 100.0591 | 0.01 |
Persistence:
0.999
Half-life:
690 days
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