V-Lab
Shimizu Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
41.71%
decreased by 0.78%
1 Week
41.60%
decreased by 0.89%
1 Month
41.18%
decreased by 1.31%
Analysis last updated: Saturday, October 3, 2026 at 07:44 PM UTC
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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
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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
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| 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
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