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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

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 Jul 24, 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 = 5.86 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

2.4287
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