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V-Lab
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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CBOE Energy ETF Volatility Index GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 16, 2011 to Feb 11, 2022

Model 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

Tap to view equation

Shock decay: Shocks decay with a 5-day half-lifev = 6.13 · fat tails
ParamValuet-stat
ωconst32.8837
4.19***
αARCH0.1354
3.32***
βGARCH0.8609
22.69***
νDF6.1344
0.91

0.861

Persistence

5d

Half-life
𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-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