V-Lab
Yw Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
24.06%
decreased by 2.29%
1 Week
24.72%
decreased by 1.63%
1 Month
27.20%
increased by 0.85%
Analysis last updated: Wednesday, August 26, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 11, 2003 to Aug 21, 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 = 3.37 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 | 66.6144 | 8.00*** |
α ARCH Response to squared shocks | 0.1001 | 107.12*** |
β GARCH Volatility persistence | 0.9990 | 8,256.20*** |
ν DF Student-t tail thickness | 3.3672 | 121.31*** |
Persistence:
0.999
Half-life:
693 days
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