EURO STOXX 50 Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
120.95%
increased by 1.30%
1 Week
119.33%
decreased by 0.32%
1 Month
114.41%
decreased by 5.24%
Analysis last updated: Tuesday, October 27, 2026 at 05:30 AM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 14 trading days, meaning a shock loses half its impact after approximately 14 days. Returns follow a Student-t distribution with v = 5.46 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 14-day half-lifev = 5.46 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 41.1808 | 2.87*** |
| αscore | 0.0852 | 6.41*** |
| βpersistence | 0.9518 | 49.13*** |
| νDF | 5.4617 | 1.41 |
0.952
Persistence14d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 41.1808 | 2.87*** |
α score Weight on the scaled score | 0.0852 | 6.41*** |
β persistence Volatility persistence | 0.9518 | 49.13*** |
ν DF Student-t tail thickness | 5.4617 | 1.41 |
Persistence:
0.952
Half-life:
14 days
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