V-Lab
CBOE VIX Indicative Ask Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
104.30%
increased by 16.72%
1 Week
109.42%
increased by 21.84%
1 Month
117.11%
increased by 29.53%
Analysis last updated: Monday, October 5, 2026 at 11:38 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 4 trading days, meaning a shock loses half its impact after approximately 4 days. Returns follow a Student-t distribution with v = 4.78 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 4-day half-lifev = 4.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 58.9771 | 4.18*** |
| αARCH | 0.1640 | 4.48*** |
| βGARCH | 0.8386 | 20.49*** |
| νDF | 4.7803 | 1.76* |
0.839
Persistence4d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 58.9771 | 4.18*** |
α ARCH Response to squared shocks | 0.1640 | 4.48*** |
β GARCH Volatility persistence | 0.8386 | 20.49*** |
ν DF Student-t tail thickness | 4.7803 | 1.76* |
Persistence:
0.839
Half-life:
4 days
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