V-Lab
National Aerospace Fastener GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
72.11%
decreased by 3.70%
1 Week
72.31%
decreased by 3.50%
1 Month
73.05%
decreased by 2.76%
Analysis last updated: Sunday, July 26, 2026 at 05:40 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2002 to Jul 24, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 235 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 | 39.3290 | 7.02*** |
α ARCH Response to squared shocks | 0.0985 | 111.95*** |
β GARCH Volatility persistence | 0.9971 | 2,474.09*** |
ν DF Student-t tail thickness | 3.0220 | 164.71*** |
Persistence:
0.997
Half-life:
235 days
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