V-Lab
Gdh Supertime Group Company GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
59.54%
increased by 3.64%
1 Week
59.99%
increased by 4.09%
1 Month
61.73%
increased by 5.83%
Analysis last updated: Saturday, August 22, 2026 at 07:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 16, 2022 to Aug 21, 2026Boundary Parameters
Model 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 = 3.55 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 | 119.9996 | 12.27*** |
α ARCH Response to squared shocks | 0.1151 | 43.82*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 3.5540 | 30.78*** |
Persistence:
0.999
Half-life:
693 days
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