Pacer S&P 500 Quality FCF High Dividend ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
10.59%
unchanged at 0.00%
1 Week
10.59%
unchanged at 0.00%
1 Month
10.59%
unchanged at 0.00%
Analysis last updated: Monday, July 20, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2026 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 55 trading days, meaning a shock loses half its impact after approximately 55 days. Returns follow a Student-t distribution with v = 9.80 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 | 0.4450 | 0.31 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9874 | 4.73*** |
ν DF Student-t tail thickness | 9.8039 | 0.10 |
Persistence:
0.987
Half-life:
55 days
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