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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Invesco S&P 500 Quality ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 6, 2005 to Jul 17, 2026

Model 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

ParameterValuet-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