Invesco S&P 500 Quality ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
17.96%
decreased by 1.42%
1 Week
18.00%
decreased by 1.38%
1 Month
18.13%
decreased by 1.25%
Analysis last updated: Monday, July 20, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 6, 2005 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 56 trading days, meaning a shock loses half its impact after approximately 56 days. Returns follow a Student-t distribution with v = 7.55 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 | 1.4913 | 5.73*** |
α ARCH Response to squared shocks | 0.1110 | 34.46*** |
β GARCH Volatility persistence | 0.9876 | 424.06*** |
ν DF Student-t tail thickness | 7.5463 | 6.66*** |
Persistence:
0.988
Half-life:
56 days
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