V-Lab
Kerry Tj Logistics Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
11.25%
decreased by 0.10%
1 Week
11.73%
increased by 0.38%
1 Month
13.45%
increased by 2.10%
Analysis last updated: Tuesday, August 25, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 27, 1993 to Aug 21, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 444 trading days (~1.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.29 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 | 14.4607 | 9.90*** |
α ARCH Response to squared shocks | 0.0941 | 127.72*** |
β GARCH Volatility persistence | 0.9984 | 6,700.95*** |
ν DF Student-t tail thickness | 3.2911 | 198.35*** |
Persistence:
0.998
Half-life:
444 days
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