V-Lab
CBOE S&P 500 9-Day Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
192.44%
decreased by 18.65%
1 Week
194.47%
decreased by 16.62%
1 Month
196.84%
decreased by 14.25%
Analysis last updated: Wednesday, August 26, 2026 at 11:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2011 to Aug 21, 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 = 5.21 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 155.5397 | 19.43*** |
α ARCH Response to squared shocks | 0.1142 | 10.72*** |
β GARCH Volatility persistence | 0.7717 | 50.78*** |
ν DF Student-t tail thickness | 5.2100 | 3.20*** |
Persistence:
0.772
Half-life:
3 days
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