TLT Percentage Price Volatility Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
86.32%
decreased by 12.95%
1 Week
87.04%
decreased by 12.23%
1 Month
88.56%
decreased by 10.71%
Analysis last updated: Tuesday, October 13, 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 2, 2004 to Oct 9, 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 = 4.03 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 6-day half-lifev = 4.03 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 32.2403 | 3.73*** |
| αARCH | 0.1309 | 6.39*** |
| βGARCH | 0.8977 | 41.09*** |
| νDF | 4.0309 | 2.75*** |
0.898
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 32.2403 | 3.73*** |
α ARCH Response to squared shocks | 0.1309 | 6.39*** |
β GARCH Volatility persistence | 0.8977 | 41.09*** |
ν DF Student-t tail thickness | 4.0309 | 2.75*** |
Persistence:
0.898
Half-life:
6 days
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