V-Lab
Pacer S&P 500 Quality FCF High Dividend ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
10.55%
unchanged at 0.00%
1 Week
10.55%
unchanged at 0.00%
1 Month
10.55%
unchanged at 0.00%
Analysis last updated: Saturday, September 19, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2026 to Sep 18, 2026Hessian SE
Model Insight
With persistence 0.996, volatility shocks have a half-life of 158 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 20.06 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.996, shock half-life ~158 daysv = 20.06 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4420 | 0.02 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9956 | 0.03 |
| νDF | 20.0554 | 0.00 |
0.996
Persistence158d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4420 | 0.02 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9956 | 0.03 |
ν DF Student-t tail thickness | 20.0554 | 0.00 |
Persistence:
0.996
Half-life:
158 days
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