Xtrackers S&P 100 Ex Top 20 ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
11.19%
increased by 0.96%
1 Week
11.40%
increased by 1.17%
1 Month
11.92%
increased by 1.69%
Analysis last updated: Friday, October 16, 2026 at 02:17 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2022 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. Returns follow a Student-t distribution with v = 8.00 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 9-day half-lifev = 8.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6367 | 3.06*** |
| αARCH | 0.0637 | 2.42** |
| βGARCH | 0.9282 | 30.42*** |
| νDF | 8.0020 | 0.28 |
0.928
Persistence9d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6367 | 3.06*** |
α ARCH Response to squared shocks | 0.0637 | 2.42** |
β GARCH Volatility persistence | 0.9282 | 30.42*** |
ν DF Student-t tail thickness | 8.0020 | 0.28 |
Persistence:
0.928
Half-life:
9 days
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