V-Lab
Dae Won Chemical Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
91.85%
decreased by 0.02%
1 Week
92.38%
increased by 0.51%
1 Month
94.42%
increased by 2.55%
Analysis last updated: Sunday, July 26, 2026 at 04:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 28, 1997 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 315 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.07 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 | 121.2106 | 7.33*** |
α ARCH Response to squared shocks | 0.1365 | 139.42*** |
β GARCH Volatility persistence | 0.9978 | 3,615.22*** |
ν DF Student-t tail thickness | 3.0726 | 153.36*** |
Persistence:
0.998
Half-life:
315 days
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