CBOE DJIA Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
95.11%
increased by 8.08%
1 Week
98.35%
increased by 11.32%
1 Month
105.59%
increased by 18.56%
Analysis last updated: Friday, October 16, 2026 at 11:31 AM 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 9, 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 |
|---|---|---|
| ωconst | 51.6120 | 3.72*** |
| αARCH | 0.1241 | 7.02*** |
| βGARCH | 0.9136 | 43.14*** |
| νDF | 3.9952 | 3.25*** |
0.914
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 51.6120 | 3.72*** |
α ARCH Response to squared shocks | 0.1241 | 7.02*** |
β GARCH Volatility persistence | 0.9136 | 43.14*** |
ν DF Student-t tail thickness | 3.9952 | 3.25*** |
Persistence:
0.914
Half-life:
8 days
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