V-Lab
Russell 1000 Value Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
9.92%
decreased by 0.18%
1 Week
10.23%
increased by 0.13%
1 Month
11.27%
increased by 1.17%
Analysis last updated: Tuesday, October 6, 2026 at 12:09 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 49 trading days, meaning a shock loses half its impact after approximately 49 days. Returns follow a Student-t distribution with v = 7.81 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 49-day half-lifev = 7.81 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2762 | 1.86* |
| αARCH | 0.1006 | 9.02*** |
| βGARCH | 0.9860 | 118.34*** |
| νDF | 7.8078 | 1.60 |
0.986
Persistence49d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2762 | 1.86* |
α ARCH Response to squared shocks | 0.1006 | 9.02*** |
β GARCH Volatility persistence | 0.9860 | 118.34*** |
ν DF Student-t tail thickness | 7.8078 | 1.60 |
Persistence:
0.986
Half-life:
49 days
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