V-Lab
Iwatsuka Confectionery Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
32.55%
increased by 5.00%
1 Week
34.74%
increased by 7.19%
1 Month
42.20%
increased by 14.65%
Analysis last updated: Tuesday, July 28, 2026 at 07:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 1995 to Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 166 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.12 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 | 74.7048 | 5.79*** |
α ARCH Response to squared shocks | 0.1207 | 161.39*** |
β GARCH Volatility persistence | 0.9958 | 1,486.32*** |
ν DF Student-t tail thickness | 2.1202 | 997.25*** |
Persistence:
0.996
Half-life:
166 days
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