Nissui Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
23.45%
increased by 0.19%
1 Week
23.89%
increased by 0.63%
1 Month
25.49%
increased by 2.23%
Analysis last updated: Friday, October 23, 2026 at 07:35 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days. Returns follow a Student-t distribution with v = 4.56 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 59-day half-lifev = 4.56 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.9904 | 1.16 |
| αscore | 0.0700 | 9.48*** |
| βpersistence | 0.9884 | 95.61*** |
| νDF | 4.5601 | 2.94*** |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.9904 | 1.16 |
α score Weight on the scaled score | 0.0700 | 9.48*** |
β persistence Volatility persistence | 0.9884 | 95.61*** |
ν DF Student-t tail thickness | 4.5601 | 2.94*** |
Persistence:
0.988
Half-life:
59 days
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