Russell 2000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
12.44%
1 Week
12.59%
1 Month
13.17%
Analysis last updated: Saturday, October 10, 2026 at 02:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 9, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 136 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 = 10.59 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.1145 | 1.75* |
| αARCH | 0.0863 | 12.86*** |
| βGARCH | 0.9949 | 312.97*** |
| νDF | 10.5862 | 1.56 |
0.995
Persistence136d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1145 | 1.75* |
α ARCH Response to squared shocks | 0.0863 | 12.86*** |
β GARCH Volatility persistence | 0.9949 | 312.97*** |
ν DF Student-t tail thickness | 10.5862 | 1.56 |
Persistence:
0.995
Half-life:
136 days
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