CBOE Goldman Sachs Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
89.55%
increased by 18.20%
1 Week
91.64%
increased by 20.29%
1 Month
95.98%
increased by 24.63%
Analysis last updated: Friday, October 16, 2026 at 11:31 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 9, 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
Tap to view equation
Shock decay: Shocks decay with a 6-day half-lifev = 4.39 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 39.9166 | 2.78*** |
| αARCH | 0.1521 | 4.92*** |
| βGARCH | 0.8970 | 22.60*** |
| νDF | 4.3878 | 2.05** |
0.897
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 39.9166 | 2.78*** |
α ARCH Response to squared shocks | 0.1521 | 4.92*** |
β GARCH Volatility persistence | 0.8970 | 22.60*** |
ν DF Student-t tail thickness | 4.3878 | 2.05** |
Persistence:
0.897
Half-life:
6 days
Other CBOE Goldman Sachs Volatility Index Analyses
Other GAS-GARCH Student T Analyses on Volatility Indices