V-Lab
Ksp Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
128.38%
increased by 28.38%
1 Week
128.25%
increased by 28.25%
1 Month
127.74%
increased by 27.74%
Analysis last updated: Wednesday, August 5, 2026 at 07:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 11, 2007 to Jul 31, 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 = 7.90 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 | 0.0000 | |
α ARCH Response to squared shocks | 0.3336 | 65.51*** |
β GARCH Volatility persistence | 0.9990 | 1,624.39*** |
ν DF Student-t tail thickness | 7.8957 | 18.64*** |
Persistence:
0.999
Half-life:
693 days
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