V-Lab
S&P 500 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
11.12%
increased by 0.43%
1 Week
11.30%
increased by 0.61%
1 Month
11.94%
increased by 1.25%
Analysis last updated: Saturday, October 3, 2026 at 12:16 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 2, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 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 = 7.05 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~73 daysv = 7.05 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3396 | 1.42 |
| αARCH | 0.0858 | 10.15*** |
| βGARCH | 0.9906 | 137.85*** |
| νDF | 7.0536 | 1.90* |
0.991
Persistence73d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3396 | 1.42 |
α ARCH Response to squared shocks | 0.0858 | 10.15*** |
β GARCH Volatility persistence | 0.9906 | 137.85*** |
ν DF Student-t tail thickness | 7.0536 | 1.90* |
Persistence:
0.991
Half-life:
73 days
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