V-Lab
CBOE VIX Indicative Ask Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
146.13%
increased by 24.89%
1 Week
139.94%
increased by 18.70%
1 Month
129.49%
increased by 8.25%
Analysis last updated: Monday, September 14, 2026 at 03:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 to Sep 11, 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 = 4.77 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 = 4.77 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 59.1833 | 4.16*** |
| αARCH | 0.1649 | 4.48*** |
| βGARCH | 0.8387 | 20.41*** |
| νDF | 4.7727 | 1.77* |
0.839
Persistence4d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 59.1833 | 4.16*** |
α ARCH Response to squared shocks | 0.1649 | 4.48*** |
β GARCH Volatility persistence | 0.8387 | 20.41*** |
ν DF Student-t tail thickness | 4.7727 | 1.77* |
Persistence:
0.839
Half-life:
4 days
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