CBOE EFA ETF Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
155.17%
increased by 10.82%
1 Week
155.38%
increased by 11.03%
1 Month
155.96%
increased by 11.61%
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
Jan 2, 2008 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 3.83 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 12-day half-lifev = 3.83 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 97.9201 | 2.19** |
| αARCH | 0.1278 | 6.89*** |
| βGARCH | 0.9418 | 38.56*** |
| νDF | 3.8263 | 3.22*** |
0.942
Persistence12d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 97.9201 | 2.19** |
α ARCH Response to squared shocks | 0.1278 | 6.89*** |
β GARCH Volatility persistence | 0.9418 | 38.56*** |
ν DF Student-t tail thickness | 3.8263 | 3.22*** |
Persistence:
0.942
Half-life:
12 days
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