V-Lab
iShares Semiconductor ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 20th, 2026
1 Day
53.48%
decreased by 1.16%
1 Week
53.44%
decreased by 1.20%
1 Month
53.27%
decreased by 1.37%
Analysis last updated: Wednesday, August 19, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2001 to Aug 14, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 215 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 = 10.20 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 | 8.5060 | 4.66*** |
α ARCH Response to squared shocks | 0.0699 | 40.86*** |
β GARCH Volatility persistence | 0.9968 | 1,392.16*** |
ν DF Student-t tail thickness | 10.2017 | 5.32*** |
Persistence:
0.997
Half-life:
215 days
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