V-Lab
BMO Equal Weight US BKS Indx GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
18.23%
decreased by 0.95%
1 Week
18.92%
decreased by 0.26%
1 Month
20.82%
increased by 1.64%
Analysis last updated: Tuesday, July 28, 2026 at 09:25 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Jul 24, 2026Model 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 = 5.86 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 | 2.4287 | 8.53*** |
α ARCH Response to squared shocks | 0.0849 | 16.80*** |
β GARCH Volatility persistence | 0.9520 | 147.21*** |
ν DF Student-t tail thickness | 5.8605 | 3.51*** |
Persistence:
0.952
Half-life:
14 days
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