CBOE S&P 500 Spot Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
166.83%
increased by 6.26%
1 Week
174.33%
increased by 13.76%
1 Month
194.44%
increased by 33.87%
Analysis last updated: Friday, October 16, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2006 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. Returns follow a Student-t distribution with v = 5.61 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 13-day half-lifev = 5.61 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 215.8094 | 2.50** |
| αARCH | 0.1194 | 5.20*** |
| βGARCH | 0.9493 | 45.02*** |
| νDF | 5.6105 | 1.62 |
0.949
Persistence13d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 215.8094 | 2.50** |
α ARCH Response to squared shocks | 0.1194 | 5.20*** |
β GARCH Volatility persistence | 0.9493 | 45.02*** |
ν DF Student-t tail thickness | 5.6105 | 1.62 |
Persistence:
0.949
Half-life:
13 days
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