V-Lab
CBOE Apple Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
84.41%
decreased by 1.20%
1 Week
89.51%
increased by 3.90%
1 Month
100.33%
increased by 14.72%
Analysis last updated: Monday, October 5, 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 2, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 3.30 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 7-day half-lifev = 3.30 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 49.8726 | 1.35 |
| αARCH | 0.1074 | 3.19*** |
| βGARCH | 0.9111 | 12.57*** |
| νDF | 3.2959 | 1.88* |
0.911
Persistence7d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 49.8726 | 1.35 |
α ARCH Response to squared shocks | 0.1074 | 3.19*** |
β GARCH Volatility persistence | 0.9111 | 12.57*** |
ν DF Student-t tail thickness | 3.2959 | 1.88* |
Persistence:
0.911
Half-life:
7 days
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