Ishares Large CAP ACC OT ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
10.88%
decreased by 1.45%
1 Week
11.04%
decreased by 1.29%
1 Month
11.62%
decreased by 0.71%
Analysis last updated: Monday, July 20, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2025 to Jul 17, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 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 = 3.31 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 | 1.7070 | 7.05*** |
α ARCH Response to squared shocks | 0.1724 | 36.35*** |
β GARCH Volatility persistence | 0.9945 | 1,301.68*** |
ν DF Student-t tail thickness | 3.3079 | 34.17*** |
Persistence:
0.994
Half-life:
125 days
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