V-Lab
Kusuri No Aoki Holdings Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
30.08%
decreased by 4.99%
1 Week
31.12%
decreased by 3.95%
1 Month
31.58%
decreased by 3.49%
Analysis last updated: Sunday, July 26, 2026 at 02:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 21, 2016 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. Returns follow a Student-t distribution with v = 3.81 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 | 3.9954 | 14.34*** |
α ARCH Response to squared shocks | 0.1036 | 4.10*** |
β GARCH Volatility persistence | 0.4861 | 19.80*** |
ν DF Student-t tail thickness | 3.8126 | 2.01** |
Persistence:
0.486
Half-life:
1 days
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