V-Lab
Zhejiang MTCN Technology Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
47.23%
decreased by 5.29%
1 Week
48.77%
decreased by 3.75%
1 Month
54.34%
increased by 1.82%
Analysis last updated: Tuesday, August 25, 2026 at 06:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 2020 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 172 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.17 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 | 81.8967 | 6.29*** |
α ARCH Response to squared shocks | 0.1452 | 41.02*** |
β GARCH Volatility persistence | 0.9960 | 1,945.27*** |
ν DF Student-t tail thickness | 5.1698 | 13.37*** |
Persistence:
0.996
Half-life:
172 days
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