CBOE China ETF Volatility Index GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
113.72%
1 Week
110.57%
1 Month
102.92%
Analysis last updated: Wednesday, September 2, 2026 at 03:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model 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 = 4.99 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 = 4.99 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 34.2092 | 3.21*** |
| αARCH | 0.1579 | 5.51*** |
| βGARCH | 0.9103 | 34.37*** |
| νDF | 4.9914 | 1.98** |
0.910
Persistence7d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 34.2092 | 3.21*** |
α ARCH Response to squared shocks | 0.1579 | 5.51*** |
β GARCH Volatility persistence | 0.9103 | 34.37*** |
ν DF Student-t tail thickness | 4.9914 | 1.98** |
Persistence:
0.910
Half-life:
7 days
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