CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
99.40%
decreased by 1.66%
1 Week
101.87%
increased by 0.81%
1 Month
107.46%
increased by 6.40%
Analysis last updated: Wednesday, October 21, 2026 at 01:49 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Oct 16, 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 = 4.00 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 = 4.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 51.6142 | 3.74*** |
| αscore | 0.1244 | 7.01*** |
| βpersistence | 0.9132 | 43.18*** |
| νDF | 4.0010 | 3.25*** |
0.913
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 | 51.6142 | 3.74*** |
α score Weight on the scaled score | 0.1244 | 7.01*** |
β persistence Volatility persistence | 0.9132 | 43.18*** |
ν DF Student-t tail thickness | 4.0010 | 3.25*** |
Persistence:
0.913
Half-life:
8 days
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