CBOE Skew Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
35.88%
increased by 1.28%
1 Week
36.17%
increased by 1.57%
1 Month
37.20%
increased by 2.60%
Analysis last updated: Friday, October 16, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 48 trading days, meaning a shock loses half its impact after approximately 48 days. Returns follow a Student-t distribution with v = 4.39 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 48-day half-lifev = 4.39 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.0426 | 1.28 |
| αARCH | 0.1005 | 10.92*** |
| βGARCH | 0.9857 | 92.50*** |
| νDF | 4.3881 | 4.04*** |
0.986
Persistence48d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.0426 | 1.28 |
α ARCH Response to squared shocks | 0.1005 | 10.92*** |
β GARCH Volatility persistence | 0.9857 | 92.50*** |
ν DF Student-t tail thickness | 4.3881 | 4.04*** |
Persistence:
0.986
Half-life:
48 days
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