CBOE S&P 500 9-Day Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
163.87%
decreased by 4.66%
1 Week
176.83%
increased by 8.30%
1 Month
191.13%
increased by 22.60%
Analysis last updated: Friday, October 9, 2026 at 11:33 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2011 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days. Returns follow a Student-t distribution with v = 5.25 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 3-day half-lifev = 5.25 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 155.1555 | 4.89*** |
| αARCH | 0.1127 | 2.69*** |
| βGARCH | 0.7742 | 12.87*** |
| νDF | 5.2473 | 0.79 |
0.774
Persistence3d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 155.1555 | 4.89*** |
α ARCH Response to squared shocks | 0.1127 | 2.69*** |
β GARCH Volatility persistence | 0.7742 | 12.87*** |
ν DF Student-t tail thickness | 5.2473 | 0.79 |
Persistence:
0.774
Half-life:
3 days
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