CBOE S&P 500 One-Year Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
30.25%
decreased by 1.04%
1 Week
31.63%
increased by 0.34%
1 Month
35.28%
increased by 3.99%
Analysis last updated: Wednesday, October 21, 2026 at 01:44 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2007 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. Returns follow a Student-t distribution with v = 4.85 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 13-day half-lifev = 4.85 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 7.0298 | 2.05** |
| αscore | 0.1700 | 6.50*** |
| βpersistence | 0.9464 | 36.05*** |
| νDF | 4.8499 | 2.54** |
0.946
Persistence13d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 7.0298 | 2.05** |
α score Weight on the scaled score | 0.1700 | 6.50*** |
β persistence Volatility persistence | 0.9464 | 36.05*** |
ν DF Student-t tail thickness | 4.8499 | 2.54** |
Persistence:
0.946
Half-life:
13 days
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