V-Lab
GMO TECH Holdings Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.60%
decreased by 15.24%
1 Week
43.76%
decreased by 12.08%
1 Month
54.37%
decreased by 1.47%
Analysis last updated: Saturday, August 22, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2025 to Aug 21, 2026Extended Optimization
Model Insight
With persistence 0.996, volatility shocks have a half-life of 191 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.82 degrees of freedom, capturing fatter tails than a normal distribution.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 152.7041 | 5.38*** |
α ARCH Response to squared shocks | 0.2838 | 39.41*** |
β GARCH Volatility persistence | 0.9964 | 1,641.46*** |
ν DF Student-t tail thickness | 2.8200 | 20.69*** |
Persistence:
0.996
Half-life:
191 days
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