V-Lab
CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
90.28%
decreased by 5.59%
1 Week
94.47%
decreased by 1.40%
1 Month
103.65%
increased by 7.78%
Analysis last updated: Thursday, October 1, 2026 at 11:35 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Sep 25, 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 = 3.99 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 8-day half-lifev = 3.99 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 51.6923 | 3.72*** |
| αARCH | 0.1240 | 7.00*** |
| βGARCH | 0.9135 | 43.07*** |
| νDF | 3.9943 | 3.25*** |
0.913
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 51.6923 | 3.72*** |
α ARCH Response to squared shocks | 0.1240 | 7.00*** |
β GARCH Volatility persistence | 0.9135 | 43.07*** |
ν DF Student-t tail thickness | 3.9943 | 3.25*** |
Persistence:
0.913
Half-life:
8 days
Other CBOE DJIA Volatility Index Analyses
Other GAS-GARCH Student T Analyses on Volatility Indices