V-Lab
Baron First Principles ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
24.27%
decreased by 1.84%
1 Week
23.83%
decreased by 2.28%
1 Month
22.58%
decreased by 3.53%
Analysis last updated: Friday, July 24, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 15, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days. Returns follow a Student-t distribution with v = 6.55 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5842 | 5.35*** |
α ARCH Response to squared shocks | 0.0782 | 4.21*** |
β GARCH Volatility persistence | 0.9413 | 64.95*** |
ν DF Student-t tail thickness | 6.5526 | 1.06 |
Persistence:
0.941
Half-life:
11 days
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