V-Lab
PSK Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
121.68%
increased by 1.04%
1 Week
121.28%
increased by 0.64%
1 Month
119.74%
decreased by 0.90%
Analysis last updated: Sunday, August 23, 2026 at 01:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 10, 2019 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 141 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.85 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 | 19.8064 | 5.06*** |
α ARCH Response to squared shocks | 0.0380 | 27.86*** |
β GARCH Volatility persistence | 0.9951 | 1,450.56*** |
ν DF Student-t tail thickness | 3.8492 | 14.94*** |
Persistence:
0.995
Half-life:
141 days
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