V-Lab
S&P 500 Equal Weight Index (EWI) GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.60%
increased by 0.52%
1 Week
10.79%
increased by 0.71%
1 Month
11.47%
increased by 1.39%
Analysis last updated: Friday, July 24, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 24, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 70 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 = 8.41 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 | 1.2661 | 7.23*** |
α ARCH Response to squared shocks | 0.0846 | 40.39*** |
β GARCH Volatility persistence | 0.9901 | 660.07*** |
ν DF Student-t tail thickness | 8.4143 | 5.94*** |
Persistence:
0.990
Half-life:
70 days
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