Russell 2000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
13.57%
decreased by 0.75%
1 Week
13.70%
decreased by 0.62%
1 Month
14.20%
decreased by 0.12%
Analysis last updated: Friday, July 17, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 137 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.51 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 | 2.1411 | 6.98*** |
α ARCH Response to squared shocks | 0.0866 | 51.58*** |
β GARCH Volatility persistence | 0.9950 | 1,262.63*** |
ν DF Student-t tail thickness | 10.5147 | 6.31*** |
Persistence:
0.995
Half-life:
137 days
Other Russell 2000 Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices