V-Lab
Betapro Nasdaq-100 -2X D ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
33.64%
decreased by 0.04%
1 Week
34.08%
increased by 0.40%
1 Month
35.62%
increased by 1.94%
Analysis last updated: Tuesday, October 6, 2026 at 09:21 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2008 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 43 trading days, meaning a shock loses half its impact after approximately 43 days. Returns follow a Student-t distribution with v = 7.02 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 43-day half-lifev = 7.02 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.2178 | 1.38 |
| αARCH | 0.1026 | 6.07*** |
| βGARCH | 0.9838 | 77.12*** |
| νDF | 7.0154 | 1.38 |
0.984
Persistence43d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.2178 | 1.38 |
α ARCH Response to squared shocks | 0.1026 | 6.07*** |
β GARCH Volatility persistence | 0.9838 | 77.12*** |
ν DF Student-t tail thickness | 7.0154 | 1.38 |
Persistence:
0.984
Half-life:
43 days
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