V-Lab
Ishares Large CAP ACC OT ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
11.20%
decreased by 1.56%
1 Week
11.35%
decreased by 1.41%
1 Month
11.94%
decreased by 0.82%
Analysis last updated: Saturday, September 5, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2025 to Sep 4, 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 = 3.38 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 ~119 daysv = 3.38 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7103 | 1.73* |
| αARCH | 0.1705 | 9.64*** |
| βGARCH | 0.9942 | 309.33*** |
| νDF | 3.3750 | 8.19*** |
0.994
Persistence119d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7103 | 1.73* |
α ARCH Response to squared shocks | 0.1705 | 9.64*** |
β GARCH Volatility persistence | 0.9942 | 309.33*** |
ν DF Student-t tail thickness | 3.3750 | 8.19*** |
Persistence:
0.994
Half-life:
119 days
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