VT Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
85.31%
increased by 12.17%
1 Week
85.86%
increased by 12.72%
1 Month
87.93%
increased by 14.79%
Analysis last updated: Tuesday, July 21, 2026 at 07:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 2001 to Jul 16, 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 | 51.8415 | 3.74*** |
α ARCH Response to squared shocks | 0.1281 | 84.20*** |
β GARCH Volatility persistence | 0.9917 | 463.86*** |
ν DF Student-t tail thickness | 3.1345 | 58.06*** |
Persistence:
0.992
Half-life:
84 days
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