V-Lab
CBOE VIX Tail Hedge Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
9.83%
decreased by 0.45%
1 Week
10.01%
decreased by 0.27%
1 Month
10.63%
increased by 0.35%
Analysis last updated: Thursday, October 1, 2026 at 11:36 AM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2006 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 44 trading days, meaning a shock loses half its impact after approximately 44 days. Returns follow a Student-t distribution with v = 7.30 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 44-day half-lifev = 7.30 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8409 | 1.77* |
| αARCH | 0.0950 | 7.01*** |
| βGARCH | 0.9844 | 103.61*** |
| νDF | 7.3003 | 1.46 |
0.984
Persistence44d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8409 | 1.77* |
α ARCH Response to squared shocks | 0.0950 | 7.01*** |
β GARCH Volatility persistence | 0.9844 | 103.61*** |
ν DF Student-t tail thickness | 7.3003 | 1.46 |
Persistence:
0.984
Half-life:
44 days
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