Dongbang Agro Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
9.74%
increased by 0.78%
1 Week
10.18%
increased by 1.22%
1 Month
11.77%
increased by 2.81%
Analysis last updated: Tuesday, July 14, 2026 at 07:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 10, 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 = 3.38 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 | 17.8247 | 9.29*** |
α ARCH Response to squared shocks | 0.0952 | 138.01*** |
β GARCH Volatility persistence | 0.9990 | 9,605.77*** |
ν DF Student-t tail thickness | 3.3834 | 206.00*** |
Persistence:
0.999
Half-life:
693 days
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