V-Lab
Yw Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
31.98%
1 Week
32.47%
1 Month
34.33%
Analysis last updated: Wednesday, October 7, 2026 at 07:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 11, 2003 to Oct 2, 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 = 3.38 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 66.2318 | 2.00** |
| αARCH | 0.1001 | 26.79*** |
| βGARCH | 0.9990 | 2,068.32*** |
| νDF | 3.3836 | 29.83*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 66.2318 | 2.00** |
α ARCH Response to squared shocks | 0.1001 | 26.79*** |
β GARCH Volatility persistence | 0.9990 | 2,068.32*** |
ν DF Student-t tail thickness | 3.3836 | 29.83*** |
Persistence:
0.999
Half-life:
693 days
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