CBOE Google Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
81.88%
increased by 6.90%
1 Week
90.37%
increased by 15.39%
1 Month
108.77%
increased by 33.79%
Analysis last updated: Monday, October 19, 2026 at 11:40 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. Returns follow a Student-t distribution with v = 2.83 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 9-day half-lifev = 2.83 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 68.1556 | 0.92 |
| αARCH | 0.1280 | 3.81*** |
| βGARCH | 0.9248 | 10.79*** |
| νDF | 2.8327 | 3.13*** |
0.925
Persistence9d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 68.1556 | 0.92 |
α ARCH Response to squared shocks | 0.1280 | 3.81*** |
β GARCH Volatility persistence | 0.9248 | 10.79*** |
ν DF Student-t tail thickness | 2.8327 | 3.13*** |
Persistence:
0.925
Half-life:
9 days
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