Taiwan Semiconductor Mfg Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
33.29%
decreased by 0.79%
1 Week
33.33%
decreased by 0.75%
1 Month
33.46%
decreased by 0.62%
Analysis last updated: Tuesday, July 14, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 1995 to Jul 3, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 142 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.50 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 | 5.3143 | 4.14*** |
α ARCH Response to squared shocks | 0.0498 | 40.26*** |
β GARCH Volatility persistence | 0.9951 | 849.80*** |
ν DF Student-t tail thickness | 5.5047 | 9.90*** |
Persistence:
0.995
Half-life:
142 days
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