V-Lab
Shimizu Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
35.32%
decreased by 1.21%
1 Week
35.36%
decreased by 1.17%
1 Month
35.50%
decreased by 1.03%
Analysis last updated: Sunday, July 26, 2026 at 02:01 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 54 trading days, meaning a shock loses half its impact after approximately 54 days. Returns follow a Student-t distribution with v = 5.78 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 | 5.3700 | 5.77*** |
α ARCH Response to squared shocks | 0.0641 | 31.34*** |
β GARCH Volatility persistence | 0.9872 | 401.65*** |
ν DF Student-t tail thickness | 5.7841 | 7.20*** |
Persistence:
0.987
Half-life:
54 days
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