V-Lab
iShares Semiconductor ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
38.81%
decreased by 0.50%
1 Week
38.85%
decreased by 0.46%
1 Month
39.02%
decreased by 0.29%
Analysis last updated: Friday, September 11, 2026 at 10:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2001 to Sep 11, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 189 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 ~189 daysv = 10.22 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.8405 | 1.14 |
| αARCH | 0.0707 | 9.80*** |
| βGARCH | 0.9963 | 295.04*** |
| νDF | 10.2215 | 1.27 |
0.996
Persistence189d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.8405 | 1.14 |
α ARCH Response to squared shocks | 0.0707 | 9.80*** |
β GARCH Volatility persistence | 0.9963 | 295.04*** |
ν DF Student-t tail thickness | 10.2215 | 1.27 |
Persistence:
0.996
Half-life:
189 days
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