V-Lab
Investeringsselskabet af 3. november 2025 A/S GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
71.87%
decreased by 4.52%
1 Week
70.68%
decreased by 5.71%
1 Month
66.86%
decreased by 9.53%
Analysis last updated: Saturday, August 22, 2026 at 07:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 1991 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 17 trading days, meaning a shock loses half its impact after approximately 17 days. Returns follow a Student-t distribution with v = 2.73 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 | 11.8257 | 5.14*** |
α ARCH Response to squared shocks | 0.1216 | 31.26*** |
β GARCH Volatility persistence | 0.9594 | 122.19*** |
ν DF Student-t tail thickness | 2.7287 | 32.58*** |
Persistence:
0.959
Half-life:
17 days
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