iShares Semiconductor ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
43.81%
1 Week
43.83%
1 Month
43.90%
Analysis last updated: Monday, October 26, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2001 to Oct 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 216 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.39 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 8.5746 | 1.16 |
| αscore | 0.0704 | 10.28*** |
| βpersistence | 0.9968 | 345.63*** |
| νDF | 10.3873 | 1.30 |
0.997
Persistence216d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 8.5746 | 1.16 |
α score Weight on the scaled score | 0.0704 | 10.28*** |
β persistence Volatility persistence | 0.9968 | 345.63*** |
ν DF Student-t tail thickness | 10.3873 | 1.30 |
Persistence:
0.997
Half-life:
216 days
Other iShares Semiconductor ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs