V-Lab
Nissui Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
38.47%
increased by 4.19%
1 Week
38.49%
increased by 4.21%
1 Month
38.54%
increased by 4.26%
Analysis last updated: Friday, August 7, 2026 at 07:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 31, 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 = 4.57 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 | 6.0583 | 4.66*** |
α ARCH Response to squared shocks | 0.0707 | 38.10*** |
β GARCH Volatility persistence | 0.9884 | 382.64*** |
ν DF Student-t tail thickness | 4.5734 | 11.77*** |
Persistence:
0.988
Half-life:
59 days
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