V-Lab
S&P/BMV IPC VIX GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
39.59%
decreased by 2.01%
1 Week
42.88%
increased by 1.28%
1 Month
53.43%
increased by 11.83%
Analysis last updated: Friday, July 31, 2026 at 08:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2015 to Apr 4, 2025Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 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 = 2.29 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 | 62.3378 | 3.68*** |
α ARCH Response to squared shocks | 0.1033 | 78.96*** |
β GARCH Volatility persistence | 0.9903 | 411.10*** |
ν DF Student-t tail thickness | 2.2937 | 190.51*** |
Persistence:
0.990
Half-life:
71 days
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