V-Lab
Phihong Technology GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
52.58%
increased by 1.09%
1 Week
52.74%
increased by 1.25%
1 Month
53.27%
increased by 1.78%
Analysis last updated: Sunday, July 26, 2026 at 05:41 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 2001 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 3.65 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 | 12.5448 | 3.89*** |
α ARCH Response to squared shocks | 0.1022 | 29.64*** |
β GARCH Volatility persistence | 0.9792 | 172.08*** |
ν DF Student-t tail thickness | 3.6480 | 15.33*** |
Persistence:
0.979
Half-life:
33 days
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