V-Lab
Roundhill Nasdaq-100 0DTE Covered Call ETF Strategy ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
16.11%
increased by 0.30%
1 Week
16.50%
increased by 0.69%
1 Month
17.60%
increased by 1.79%
Analysis last updated: Monday, October 5, 2026 at 09:22 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 6, 2024 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 14 trading days, meaning a shock loses half its impact after approximately 14 days. Returns follow a Student-t distribution with v = 5.51 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 14-day half-lifev = 5.51 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5691 | 1.26 |
| αARCH | 0.1004 | 2.28** |
| βGARCH | 0.9507 | 25.37*** |
| νDF | 5.5111 | 0.63 |
0.951
Persistence14d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5691 | 1.26 |
α ARCH Response to squared shocks | 0.1004 | 2.28** |
β GARCH Volatility persistence | 0.9507 | 25.37*** |
ν DF Student-t tail thickness | 5.5111 | 0.63 |
Persistence:
0.951
Half-life:
14 days
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