V-Lab
CBOE S&P 500 One-Year Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
20.57%
increased by 0.17%
1 Week
23.71%
increased by 3.31%
1 Month
30.90%
increased by 10.50%
Analysis last updated: Thursday, October 1, 2026 at 11:32 AM 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 Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 4.88 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 12-day half-lifev = 4.88 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.9543 | 2.12** |
| αARCH | 0.1694 | 6.45*** |
| βGARCH | 0.9446 | 36.04*** |
| νDF | 4.8755 | 2.50** |
0.945
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.9543 | 2.12** |
α ARCH Response to squared shocks | 0.1694 | 6.45*** |
β GARCH Volatility persistence | 0.9446 | 36.04*** |
ν DF Student-t tail thickness | 4.8755 | 2.50** |
Persistence:
0.945
Half-life:
12 days
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