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S&P 500 Index GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 14th, 2026

1 Day

13.00%

increased by 0.32%

1 Week

13.12%

increased by 0.44%

1 Month

13.57%

increased by 0.89%

Analysis last updated: Tuesday, July 14, 2026 at 02:34 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of S&P 500 Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 10, 2026

Model Insight

With persistence 0.991, volatility shocks have a half-life of 74 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 = 7.02 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

1.3548
5.58***
α

ARCH

Response to squared shocks

0.0859
40.66***
β

GARCH

Volatility persistence

0.9907
550.70***
ν

DF

Student-t tail thickness

7.0184
7.65***

Persistence:

0.991

Half-life:

74 days