V-Lab
FT Wilshire 5000 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
11.82%
decreased by 0.23%
1 Week
11.97%
decreased by 0.08%
1 Month
12.51%
increased by 0.46%
Analysis last updated: Wednesday, September 2, 2026 at 04:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 16, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.46 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 | 1.3080 | 1.49 |
α ARCH Response to squared shocks | 0.0872 | 10.17*** |
β GARCH Volatility persistence | 0.9906 | 144.38*** |
ν DF Student-t tail thickness | 7.4628 | 1.74* |
Persistence:
0.991
Half-life:
73 days
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