Ishares Large CAP ACC OT ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
11.36%
decreased by 0.27%
1 Week
11.50%
decreased by 0.13%
1 Month
12.05%
increased by 0.42%
Analysis last updated: Tuesday, October 20, 2026 at 02:20 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2025 to Oct 16, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 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 = 3.54 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.994, shock half-life ~117 daysv = 3.54 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6401 | 1.71* |
| αARCH | 0.1698 | 9.87*** |
| βGARCH | 0.9941 | 302.25*** |
| νDF | 3.5424 | 7.31*** |
0.994
Persistence117d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6401 | 1.71* |
α ARCH Response to squared shocks | 0.1698 | 9.87*** |
β GARCH Volatility persistence | 0.9941 | 302.25*** |
ν DF Student-t tail thickness | 3.5424 | 7.31*** |
Persistence:
0.994
Half-life:
117 days
Other Ishares Large CAP ACC OT ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs