V-Lab
iShares Semiconductor ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
35.26%
decreased by 1.69%
1 Week
35.34%
decreased by 1.61%
1 Month
35.63%
decreased by 1.32%
Analysis last updated: Monday, October 5, 2026 at 09:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2001 to Oct 2, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 192 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.22 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.996, shock half-life ~192 daysv = 10.22 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.8642 | 1.14 |
| αARCH | 0.0703 | 9.85*** |
| βGARCH | 0.9964 | 299.22*** |
| νDF | 10.2194 | 1.28 |
0.996
Persistence192d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.8642 | 1.14 |
α ARCH Response to squared shocks | 0.0703 | 9.85*** |
β GARCH Volatility persistence | 0.9964 | 299.22*** |
ν DF Student-t tail thickness | 10.2194 | 1.28 |
Persistence:
0.996
Half-life:
192 days
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