V-Lab
CBOE 1-Day Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
435.72%
decreased by 3.29%
1 Week
435.51%
decreased by 3.50%
1 Month
434.67%
decreased by 4.34%
Analysis last updated: Thursday, August 6, 2026 at 11:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 13, 2022 to Jul 31, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.93 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 | 390.5317 | 7.41*** |
α ARCH Response to squared shocks | 0.0158 | 8.27*** |
β GARCH Volatility persistence | 0.9990 | 203.67*** |
ν DF Student-t tail thickness | 5.9253 | 1.78* |
Persistence:
0.999
Half-life:
693 days
Other CBOE 1-Day Volatility Index Analyses
Other GAS-GARCH Student T Analyses on Volatility Indices