Shimizu Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
36.85%
decreased by 1.94%
1 Week
36.85%
decreased by 1.94%
1 Month
36.85%
decreased by 1.94%
Analysis last updated: Thursday, October 8, 2026 at 07:36 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 55 trading days, meaning a shock loses half its impact after approximately 55 days. Returns follow a Student-t distribution with v = 5.80 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 55-day half-lifev = 5.80 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.3951 | 1.44 |
| αARCH | 0.0638 | 7.88*** |
| βGARCH | 0.9874 | 101.50*** |
| νDF | 5.8003 | 1.80* |
0.987
Persistence55d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.3951 | 1.44 |
α ARCH Response to squared shocks | 0.0638 | 7.88*** |
β GARCH Volatility persistence | 0.9874 | 101.50*** |
ν DF Student-t tail thickness | 5.8003 | 1.80* |
Persistence:
0.987
Half-life:
55 days
Other Shimizu Corp Analyses
Other GAS-GARCH Student T Analyses on International Equities