CBOE S&P 500 9-Day Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
167.68%
decreased by 10.85%
1 Week
179.17%
increased by 0.64%
1 Month
191.84%
increased by 13.31%
Analysis last updated: Friday, October 30, 2026 at 11:30 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 23, 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 = 5.28 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 = 5.28 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 155.6903 | 4.94*** |
| αscore | 0.1131 | 2.69*** |
| βpersistence | 0.7717 | 12.64*** |
| νDF | 5.2796 | 0.78 |
0.772
Persistence3d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 155.6903 | 4.94*** |
α score Weight on the scaled score | 0.1131 | 2.69*** |
β persistence Volatility persistence | 0.7717 | 12.64*** |
ν DF Student-t tail thickness | 5.2796 | 0.78 |
Persistence:
0.772
Half-life:
3 days
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