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V-Lab

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

Date Range:

from

to

6M ·

All

graph of Pacer S&P 500 Quality FCF High Dividend ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 14, 2026 to Jul 17, 2026

Model 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

ParameterValuet-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