V-Lab
Gdh Supertime Group Company GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
33.75%
increased by 0.83%
1 Week
34.55%
increased by 1.63%
1 Month
37.56%
increased by 4.64%
Analysis last updated: Friday, August 14, 2026 at 06:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 16, 2022 to Aug 7, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.61 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 | 113.1703 | 11.69*** |
α ARCH Response to squared shocks | 0.1142 | 43.52*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 3.6080 | 29.58*** |
Persistence:
0.999
Half-life:
693 days
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