V-Lab
Twin Oak Strategic Solutions ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 12th, 2026
1 Day
28.31%
unchanged at 0.00%
1 Week
28.31%
unchanged at 0.00%
1 Month
28.31%
unchanged at 0.00%
Analysis last updated: Wednesday, August 12, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 29, 2026 to Aug 7, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 119 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 200.00 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 | 3.1807 | 0.29 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9942 | 0.16 |
ν DF Student-t tail thickness | 200.0000 | 0.00 |
Persistence:
0.994
Half-life:
119 days
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