Wisdomtree 1-3 YR Ladd TR FD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
1.65%
increased by 0.01%
1 Week
1.65%
increased by 0.01%
1 Month
1.66%
increased by 0.02%
Analysis last updated: Tuesday, July 21, 2026 at 09:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 14, 2024 to Jul 17, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 72 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.60 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 | 0.0130 | 4.73*** |
α ARCH Response to squared shocks | 0.0337 | 13.37*** |
β GARCH Volatility persistence | 0.9904 | 553.30*** |
ν DF Student-t tail thickness | 4.5995 | 5.00*** |
Persistence:
0.990
Half-life:
72 days
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