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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 1991 to Jul 24, 2026Model 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
| Parameter | Value | t-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
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