V-Lab
Sterling Capital Multi-Strategy Income ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
2.50%
increased by 0.06%
1 Week
2.55%
increased by 0.11%
1 Month
2.70%
increased by 0.26%
Analysis last updated: Friday, September 4, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 11, 2025 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 4.05 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 12-day half-lifev = 4.05 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0353 | 0.71 |
| αARCH | 0.0806 | 1.46 |
| βGARCH | 0.9455 | 9.42*** |
| νDF | 4.0543 | 0.54 |
0.945
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0353 | 0.71 |
α ARCH Response to squared shocks | 0.0806 | 1.46 |
β GARCH Volatility persistence | 0.9455 | 9.42*** |
ν DF Student-t tail thickness | 4.0543 | 0.54 |
Persistence:
0.945
Half-life:
12 days
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