CBOE Apple Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
75.49%
decreased by 1.78%
1 Week
82.34%
increased by 5.07%
1 Month
96.57%
increased by 19.30%
Analysis last updated: Monday, October 26, 2026 at 11:39 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 3.31 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 8-day half-lifev = 3.31 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 49.7202 | 1.34 |
| αscore | 0.1070 | 3.24*** |
| βpersistence | 0.9138 | 12.84*** |
| νDF | 3.3064 | 1.89* |
0.914
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 49.7202 | 1.34 |
α score Weight on the scaled score | 0.1070 | 3.24*** |
β persistence Volatility persistence | 0.9138 | 12.84*** |
ν DF Student-t tail thickness | 3.3064 | 1.89* |
Persistence:
0.914
Half-life:
8 days
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