V-Lab
Planetel Spa GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
31.74%
increased by 0.01%
1 Week
33.11%
increased by 1.38%
1 Month
36.60%
increased by 4.87%
Analysis last updated: Wednesday, September 16, 2026 at 05:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 15, 2021 to Sep 14, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days. Returns follow a Student-t distribution with v = 3.03 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 11-day half-lifev = 3.03 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.0568 | 0.68 |
| αARCH | 0.1536 | 3.09*** |
| βGARCH | 0.9383 | 9.46*** |
| νDF | 3.0340 | 2.52** |
0.938
Persistence11d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.0568 | 0.68 |
α ARCH Response to squared shocks | 0.1536 | 3.09*** |
β GARCH Volatility persistence | 0.9383 | 9.46*** |
ν DF Student-t tail thickness | 3.0340 | 2.52** |
Persistence:
0.938
Half-life:
11 days
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