Schwab Core Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
3.91%
unchanged at 0.00%
1 Week
3.93%
increased by 0.02%
1 Month
4.01%
increased by 0.10%
Analysis last updated: Wednesday, July 22, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 5, 2025 to Jul 17, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 138 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 = 200.00 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 | 0.1242 | 8.72*** |
α ARCH Response to squared shocks | 0.0646 | 8.33*** |
β GARCH Volatility persistence | 0.9950 | 530.09*** |
ν DF Student-t tail thickness | 200.0000 | 0.04 |
Persistence:
0.995
Half-life:
138 days
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