V-Lab
Russell Midcap Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
11.85%
increased by 0.64%
1 Week
12.10%
increased by 0.89%
1 Month
12.98%
increased by 1.77%
Analysis last updated: Friday, October 2, 2026 at 09:39 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2004 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 45 trading days, meaning a shock loses half its impact after approximately 45 days. Returns follow a Student-t distribution with v = 9.56 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 45-day half-lifev = 9.56 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3548 | 2.29** |
| αARCH | 0.1016 | 7.88*** |
| βGARCH | 0.9846 | 130.22*** |
| νDF | 9.5595 | 1.15 |
0.985
Persistence45d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3548 | 2.29** |
α ARCH Response to squared shocks | 0.1016 | 7.88*** |
β GARCH Volatility persistence | 0.9846 | 130.22*** |
ν DF Student-t tail thickness | 9.5595 | 1.15 |
Persistence:
0.985
Half-life:
45 days
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