V-Lab
S&P SmallCap 600 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
13.32%
decreased by 0.70%
1 Week
13.48%
decreased by 0.54%
1 Month
14.07%
increased by 0.05%
Analysis last updated: Friday, July 24, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 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 = 10.52 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 | 1.7216 | 8.37*** |
α ARCH Response to squared shocks | 0.0839 | 40.85*** |
β GARCH Volatility persistence | 0.9916 | 875.18*** |
ν DF Student-t tail thickness | 10.5242 | 5.26*** |
Persistence:
0.992
Half-life:
82 days
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