CBOE IBM Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
95.34%
decreased by 10.25%
1 Week
104.43%
decreased by 1.16%
1 Month
121.48%
increased by 15.89%
Analysis last updated: Friday, October 30, 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 23, 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 = 2.56 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 = 2.56 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 74.6926 | 1.02 |
| αscore | 0.1229 | 3.56*** |
| βpersistence | 0.8947 | 8.11*** |
| νDF | 2.5634 | 3.67*** |
0.895
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 | 74.6926 | 1.02 |
α score Weight on the scaled score | 0.1229 | 3.56*** |
β persistence Volatility persistence | 0.8947 | 8.11*** |
ν DF Student-t tail thickness | 2.5634 | 3.67*** |
Persistence:
0.895
Half-life:
6 days
Other CBOE IBM Volatility Index Analyses
Other GAS-GARCH Student T Analyses on Volatility Indices