CBOE Goldman Sachs Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
74.42%
decreased by 9.31%
1 Week
79.86%
decreased by 3.87%
1 Month
90.44%
increased by 6.71%
Analysis last updated: Wednesday, October 21, 2026 at 01:50 PM 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 6 trading days, meaning a shock loses half its impact after approximately 6 days. Returns follow a Student-t distribution with v = 4.39 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 6-day half-lifev = 4.39 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 39.8800 | 2.79*** |
| αscore | 0.1520 | 4.92*** |
| βpersistence | 0.8967 | 22.67*** |
| νDF | 4.3941 | 2.05** |
0.897
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 39.8800 | 2.79*** |
α score Weight on the scaled score | 0.1520 | 4.92*** |
β persistence Volatility persistence | 0.8967 | 22.67*** |
ν DF Student-t tail thickness | 4.3941 | 2.05** |
Persistence:
0.897
Half-life:
6 days
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