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V-Lab

First Trust NASDAQ Clean Edge Green Energy Index Fund GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

37.97%

decreased by 1.28%

1 Week

37.94%

decreased by 1.31%

1 Month

37.83%

decreased by 1.42%

Analysis last updated: Friday, August 21, 2026 at 09:47 PM UTC

Date Range:

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to

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2Y ·

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graph of First Trust NASDAQ Clean Edge Green Energy Index Fund GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 14, 2007 to Aug 21, 2026

Model Insight

With persistence 0.993, volatility shocks have a half-life of 97 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 = 12.22 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

5.0977
8.33***
α

ARCH

Response to squared shocks

0.0717
34.27***
β

GARCH

Volatility persistence

0.9929
955.63***
ν

DF

Student-t tail thickness

12.2244
3.58***

Persistence:

0.993

Half-life:

97 days