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V-Lab

Baron First Principles ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Wednesday, July 15th, 2026

1 Day

24.78%

decreased by 1.50%

1 Week

24.20%

decreased by 2.08%

1 Month

22.64%

decreased by 3.64%

Analysis last updated: Tuesday, July 14, 2026 at 09:34 PM UTC

Date Range:

from

to

6M ·

All

graph of Baron First Principles ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 15, 2025 to Jul 10, 2026

Model Insight

Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. Returns follow a Student-t distribution with v = 6.20 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.5930
5.28***
α

ARCH

Response to squared shocks

0.0899
3.47***
β

GARCH

Volatility persistence

0.9279
61.18***
ν

DF

Student-t tail thickness

6.1961
1.04

Persistence:

0.928

Half-life:

9 days