V-Lab
Kwang Dong Pharmaceutical Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
41.92%
decreased by 4.42%
1 Week
42.38%
decreased by 3.96%
1 Month
44.10%
decreased by 2.24%
Analysis last updated: Sunday, July 26, 2026 at 03:45 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 24, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 100 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.15 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 | 18.1528 | 3.94*** |
α ARCH Response to squared shocks | 0.1108 | 73.09*** |
β GARCH Volatility persistence | 0.9931 | 574.36*** |
ν DF Student-t tail thickness | 4.1490 | 29.63*** |
Persistence:
0.993
Half-life:
100 days
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