CBOE IBM Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
114.14%
increased by 14.49%
1 Week
119.60%
increased by 19.95%
1 Month
131.02%
increased by 31.37%
Analysis last updated: Friday, October 9, 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 Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 2.50 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 7-day half-lifev = 2.50 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 80.9729 | 0.88 |
| αARCH | 0.1280 | 3.61*** |
| βGARCH | 0.9048 | 7.87*** |
| νDF | 2.4963 | 4.28*** |
0.905
Persistence7d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 80.9729 | 0.88 |
α ARCH Response to squared shocks | 0.1280 | 3.61*** |
β GARCH Volatility persistence | 0.9048 | 7.87*** |
ν DF Student-t tail thickness | 2.4963 | 4.28*** |
Persistence:
0.905
Half-life:
7 days
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