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V-Lab

Investeringsselskabet af 3. november 2025 A/S GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

88.84%

decreased by 0.01%

1 Week

86.63%

decreased by 2.22%

1 Month

79.46%

decreased by 9.39%

Analysis last updated: Saturday, July 25, 2026 at 11:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Investeringsselskabet af 3. november 2025 A/S GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 21, 1991 to Jul 24, 2026

Model Insight

Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. Returns follow a Student-t distribution with v = 2.72 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

11.8618
5.14***
α

ARCH

Response to squared shocks

0.1223
31.01***
β

GARCH

Volatility persistence

0.9588
120.60***
ν

DF

Student-t tail thickness

2.7214
32.64***

Persistence:

0.959

Half-life:

16 days