V-Lab
National Aerospace Fastener GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.01%
decreased by 3.88%
1 Week
40.62%
decreased by 3.27%
1 Month
42.95%
decreased by 0.94%
Analysis last updated: Sunday, August 23, 2026 at 02:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2002 to Aug 21, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 227 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.02 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 | 38.7485 | 6.85*** |
α ARCH Response to squared shocks | 0.0994 | 112.62*** |
β GARCH Volatility persistence | 0.9970 | 2,329.34*** |
ν DF Student-t tail thickness | 3.0169 | 162.81*** |
Persistence:
0.997
Half-life:
227 days
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