V-Lab
Avanza Bank Holding AB GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
43.01%
increased by 4.87%
1 Week
45.20%
increased by 7.06%
1 Month
52.08%
increased by 13.94%
Analysis last updated: Wednesday, September 16, 2026 at 08:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2025 to Sep 14, 2026Model Insight
Volatility shocks decay with a half-life of 31 trading days, meaning a shock loses half its impact after approximately 31 days. Returns follow a Student-t distribution with v = 4.17 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 31-day half-lifev = 4.17 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 24.9376 | 1.29 |
| αARCH | 0.2319 | 7.30*** |
| βGARCH | 0.9777 | 59.75*** |
| νDF | 4.1719 | 3.11*** |
0.978
Persistence31d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 24.9376 | 1.29 |
α ARCH Response to squared shocks | 0.2319 | 7.30*** |
β GARCH Volatility persistence | 0.9777 | 59.75*** |
ν DF Student-t tail thickness | 4.1719 | 3.11*** |
Persistence:
0.978
Half-life:
31 days
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