V-Lab
CBOE VIX Tail Hedge Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
11.48%
increased by 0.92%
1 Week
11.59%
increased by 1.03%
1 Month
11.97%
increased by 1.41%
Analysis last updated: Friday, July 24, 2026 at 11:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2006 to Jul 17, 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 = 7.25 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8487 | 6.95*** |
α ARCH Response to squared shocks | 0.0952 | 28.04*** |
β GARCH Volatility persistence | 0.9845 | 411.93*** |
ν DF Student-t tail thickness | 7.2529 | 5.89*** |
Persistence:
0.985
Half-life:
44 days
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