V-Lab
Russell 2000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
18.24%
decreased by 0.70%
1 Week
18.29%
decreased by 0.65%
1 Month
18.51%
decreased by 0.43%
Analysis last updated: Thursday, August 6, 2026 at 12:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 31, 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 = 10.53 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 | 2.1370 | 6.98*** |
α ARCH Response to squared shocks | 0.0866 | 51.56*** |
β GARCH Volatility persistence | 0.9949 | 1,259.42*** |
ν DF Student-t tail thickness | 10.5322 | 6.29*** |
Persistence:
0.995
Half-life:
137 days
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