Roundhill Nasdaq-100 0DTE Covered Call ETF Strategy ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
21.41%
increased by 0.09%
1 Week
21.28%
decreased by 0.04%
1 Month
20.90%
decreased by 0.42%
Analysis last updated: Monday, October 26, 2026 at 09:23 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 23, 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 = 5.72 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 = 5.72 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.6142 | 1.33 |
| αscore | 0.0989 | 2.32** |
| βpersistence | 0.9518 | 27.48*** |
| νDF | 5.7162 | 0.61 |
0.952
Persistence14d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.6142 | 1.33 |
α score Weight on the scaled score | 0.0989 | 2.32** |
β persistence Volatility persistence | 0.9518 | 27.48*** |
ν DF Student-t tail thickness | 5.7162 | 0.61 |
Persistence:
0.952
Half-life:
14 days
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