V-Lab
Taiwan Semiconductor Mfg Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
24.63%
1 Week
24.80%
1 Month
25.44%
Analysis last updated: Sunday, September 20, 2026 at 03:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 1995 to Sep 18, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 109 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.28 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0245 | 1.31 |
| αARCH | 0.0557 | 8.44*** |
| βGARCH | 0.9936 | 197.90*** |
| νDF | 7.2797 | 1.53 |
0.994
Persistence109d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0245 | 1.31 |
α ARCH Response to squared shocks | 0.0557 | 8.44*** |
β GARCH Volatility persistence | 0.9936 | 197.90*** |
ν DF Student-t tail thickness | 7.2797 | 1.53 |
Persistence:
0.994
Half-life:
109 days
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