V-Lab
CBOE Goldman Sachs Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
62.84%
decreased by 3.69%
1 Week
71.50%
increased by 4.97%
1 Month
87.00%
increased by 20.47%
Analysis last updated: Thursday, October 1, 2026 at 11:35 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 Sep 25, 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 = 4.40 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 = 4.40 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 39.8672 | 2.84*** |
| αARCH | 0.1523 | 4.87*** |
| βGARCH | 0.8940 | 22.38*** |
| νDF | 4.4006 | 2.03** |
0.894
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 39.8672 | 2.84*** |
α ARCH Response to squared shocks | 0.1523 | 4.87*** |
β GARCH Volatility persistence | 0.8940 | 22.38*** |
ν DF Student-t tail thickness | 4.4006 | 2.03** |
Persistence:
0.894
Half-life:
6 days
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