V-Lab
G-Shank Enterprise Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
77.61%
increased by 3.52%
1 Week
77.59%
increased by 3.50%
1 Month
77.54%
increased by 3.45%
Analysis last updated: Friday, August 14, 2026 at 08:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 7, 2001 to Aug 7, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.90 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 | 20.0842 | 7.19*** |
α ARCH Response to squared shocks | 0.0644 | 96.56*** |
β GARCH Volatility persistence | 0.9990 | 7,291.97*** |
ν DF Student-t tail thickness | 2.9036 | 292.38*** |
Persistence:
0.999
Half-life:
693 days
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