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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model 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
| Parameter | Value | t-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
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