Defiance S&P 500 TRG Inc ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
11.41%
decreased by 0.76%
1 Week
11.63%
decreased by 0.54%
1 Month
12.24%
increased by 0.07%
Analysis last updated: Monday, October 26, 2026 at 09:59 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2024 to Oct 23, 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 = 3.77 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 = 3.77 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.7428 | 0.64 |
| αscore | 0.0791 | 1.52 |
| βpersistence | 0.9478 | 13.93*** |
| νDF | 3.7657 | 0.60 |
0.948
Persistence13d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.7428 | 0.64 |
α score Weight on the scaled score | 0.0791 | 1.52 |
β persistence Volatility persistence | 0.9478 | 13.93*** |
ν DF Student-t tail thickness | 3.7657 | 0.60 |
Persistence:
0.948
Half-life:
13 days
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