V-Lab
Sansteel Minguang Co Ltd Fujian GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
39.21%
increased by 1.47%
1 Week
39.46%
increased by 1.72%
1 Month
40.43%
increased by 2.69%
Analysis last updated: Wednesday, August 5, 2026 at 06:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 26, 2007 to Jul 31, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.06 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 | 12.6850 | 4.45*** |
α ARCH Response to squared shocks | 0.0786 | 51.85*** |
β GARCH Volatility persistence | 0.9939 | 772.88*** |
ν DF Student-t tail thickness | 5.0585 | 13.89*** |
Persistence:
0.994
Half-life:
114 days
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