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V-Lab

BMO Equal Weight US BKS Indx GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

21.15%

decreased by 1.22%

1 Week

21.50%

decreased by 0.87%

1 Month

22.50%

increased by 0.13%

Analysis last updated: Saturday, August 22, 2026 at 02:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of BMO Equal Weight US BKS Indx GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 17, 2014 to Aug 21, 2026

Model Insight

Volatility shocks decay with a half-life of 14 trading days, meaning a shock loses half its impact after approximately 14 days. Returns follow a Student-t distribution with v = 5.80 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.4268
8.38***
α

ARCH

Response to squared shocks

0.0836
16.67***
β

GARCH

Volatility persistence

0.9524
145.45***
ν

DF

Student-t tail thickness

5.8026
3.51***

Persistence:

0.952

Half-life:

14 days