V-Lab
CBOE 3-Month Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
50.65%
decreased by 1.04%
1 Week
56.32%
increased by 4.63%
1 Month
67.29%
increased by 15.60%
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
Jul 17, 2006 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 4.72 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 7-day half-lifev = 4.72 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 24.0214 | 3.23*** |
| αARCH | 0.1733 | 5.96*** |
| βGARCH | 0.9043 | 29.38*** |
| νDF | 4.7177 | 2.49** |
0.904
Persistence7d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 24.0214 | 3.23*** |
α ARCH Response to squared shocks | 0.1733 | 5.96*** |
β GARCH Volatility persistence | 0.9043 | 29.38*** |
ν DF Student-t tail thickness | 4.7177 | 2.49** |
Persistence:
0.904
Half-life:
7 days
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