V-Lab
CBOE Energy ETF Volatility Index GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Monday, February 14th, 2022):
1 Day
98.89%
1 Week
97.05%
1 Month
93.68%
Analysis last updated: Wednesday, September 2, 2026 at 03:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Feb 11, 2022Model Insight
Volatility shocks decay with a half-life of 5 trading days, meaning a shock loses half its impact after approximately 5 days. Returns follow a Student-t distribution with v = 6.13 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 5-day half-lifev = 6.13 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 32.8837 | 4.19*** |
| αARCH | 0.1354 | 3.32*** |
| βGARCH | 0.8609 | 22.69*** |
| νDF | 6.1344 | 0.91 |
0.861
Persistence5d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 32.8837 | 4.19*** |
α ARCH Response to squared shocks | 0.1354 | 3.32*** |
β GARCH Volatility persistence | 0.8609 | 22.69*** |
ν DF Student-t tail thickness | 6.1344 | 0.91 |
Persistence:
0.861
Half-life:
5 days
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