V-Lab
Taiwan Semiconductor Mfg Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
42.81%
decreased by 0.26%
1 Week
42.73%
decreased by 0.34%
1 Month
42.46%
decreased by 0.61%
Analysis last updated: Wednesday, August 5, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 1995 to Jul 31, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.31 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 | 5.1905 | 5.13*** |
α ARCH Response to squared shocks | 0.0551 | 34.55*** |
β GARCH Volatility persistence | 0.9941 | 833.25*** |
ν DF Student-t tail thickness | 7.3148 | 6.16*** |
Persistence:
0.994
Half-life:
117 days
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