CBOE Skew Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
45.19%
decreased by 3.51%
1 Week
45.19%
decreased by 3.51%
1 Month
45.18%
decreased by 3.52%
Analysis last updated: Wednesday, October 21, 2026 at 01:35 PM 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 16, 2026Model Insight
Volatility shocks decay with a half-life of 49 trading days, meaning a shock loses half its impact after approximately 49 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 49-day half-lifev = 4.39 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 8.0629 | 1.27 |
| αscore | 0.1002 | 10.94*** |
| βpersistence | 0.9859 | 92.89*** |
| νDF | 4.3866 | 4.05*** |
0.986
Persistence49d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 8.0629 | 1.27 |
α score Weight on the scaled score | 0.1002 | 10.94*** |
β persistence Volatility persistence | 0.9859 | 92.89*** |
ν DF Student-t tail thickness | 4.3866 | 4.05*** |
Persistence:
0.986
Half-life:
49 days
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