V-Lab
Kinik Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
74.51%
decreased by 0.31%
1 Week
74.29%
decreased by 0.53%
1 Month
73.44%
decreased by 1.38%
Analysis last updated: Sunday, August 23, 2026 at 01:40 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 25, 2004 to Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 87 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.11 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 | 13.7222 | 3.36*** |
α ARCH Response to squared shocks | 0.0853 | 67.29*** |
β GARCH Volatility persistence | 0.9921 | 433.78*** |
ν DF Student-t tail thickness | 3.1113 | 40.00*** |
Persistence:
0.992
Half-life:
87 days
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