V-Lab
CBOE NASDAQ-100 Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
73.17%
decreased by 3.89%
1 Week
76.02%
decreased by 1.04%
1 Month
83.13%
increased by 6.07%
Analysis last updated: Thursday, October 1, 2026 at 11:36 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2001 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. Returns follow a Student-t distribution with v = 5.83 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 10-day half-lifev = 5.83 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 35.0932 | 3.57*** |
| αARCH | 0.1108 | 5.73*** |
| βGARCH | 0.9350 | 47.91*** |
| νDF | 5.8303 | 1.45 |
0.935
Persistence10d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 35.0932 | 3.57*** |
α ARCH Response to squared shocks | 0.1108 | 5.73*** |
β GARCH Volatility persistence | 0.9350 | 47.91*** |
ν DF Student-t tail thickness | 5.8303 | 1.45 |
Persistence:
0.935
Half-life:
10 days
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