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V-Lab

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

Volatility prediction for Monday, July 20th, 2026

1 Day

104.52%

decreased by 0.56%

1 Week

101.49%

decreased by 3.59%

1 Month

91.53%

decreased by 13.55%

Analysis last updated: Saturday, July 18, 2026 at 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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 17, 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

11.9124
5.12***
α

ARCH

Response to squared shocks

0.1223
30.98***
β

GARCH

Volatility persistence

0.9588
120.34***
ν

DF

Student-t tail thickness

2.7176
32.75***

Persistence:

0.959

Half-life:

16 days