VT Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
70.09%
decreased by 4.59%
1 Week
71.04%
decreased by 3.64%
1 Month
74.53%
decreased by 0.15%
Analysis last updated: Tuesday, July 14, 2026 at 07:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 2001 to Jul 10, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.13 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 | 52.0525 | 3.74*** |
α ARCH Response to squared shocks | 0.1280 | 84.46*** |
β GARCH Volatility persistence | 0.9918 | 465.62*** |
ν DF Student-t tail thickness | 3.1313 | 58.36*** |
Persistence:
0.992
Half-life:
84 days
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