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V-Lab

Swiss Market Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

11.03%

increased by 0.16%

1 Week

11.37%

increased by 0.50%

1 Month

12.46%

increased by 1.59%

Analysis last updated: Friday, August 14, 2026 at 05:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Swiss Market Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 14, 2026

Model Insight

Volatility shocks decay with a half-life of 27 trading days, meaning a shock loses half its impact after approximately 27 days. Returns follow a Student-t distribution with v = 8.33 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0972
11.57***
α

ARCH

Response to squared shocks

0.1045
31.90***
β

GARCH

Volatility persistence

0.9747
397.03***
ν

DF

Student-t tail thickness

8.3309
5.23***

Persistence:

0.975

Half-life:

27 days