V-Lab
Nissui Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.74%
decreased by 1.73%
1 Week
29.98%
decreased by 1.49%
1 Month
30.87%
decreased by 0.60%
Analysis last updated: Saturday, August 22, 2026 at 10:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 21, 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 | 6.0300 | 4.66*** |
α ARCH Response to squared shocks | 0.0704 | 38.05*** |
β GARCH Volatility persistence | 0.9884 | 383.24*** |
ν DF Student-t tail thickness | 4.5717 | 11.75*** |
Persistence:
0.988
Half-life:
59 days
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