V-Lab
S&P 500 Growth Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
23.96%
increased by 3.93%
1 Week
23.89%
increased by 3.86%
1 Month
23.63%
increased by 3.60%
Analysis last updated: Thursday, July 30, 2026 at 11:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1992 to Jul 24, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.53 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 | 1.5346 | 5.89*** |
α ARCH Response to squared shocks | 0.0880 | 38.43*** |
β GARCH Volatility persistence | 0.9910 | 604.26*** |
ν DF Student-t tail thickness | 7.5260 | 7.22*** |
Persistence:
0.991
Half-life:
77 days
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