V-Lab
Ishares Large CAP ACC OT ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
9.77%
increased by 0.32%
1 Week
9.96%
increased by 0.51%
1 Month
10.68%
increased by 1.23%
Analysis last updated: Friday, August 14, 2026 at 02:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2025 to Aug 7, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 126 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 = 3.33 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 | 1.7598 | 7.11*** |
α ARCH Response to squared shocks | 0.1713 | 37.59*** |
β GARCH Volatility persistence | 0.9945 | 1,327.77*** |
ν DF Student-t tail thickness | 3.3264 | 35.54*** |
Persistence:
0.995
Half-life:
126 days
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