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V-Lab

GMO TECH Holdings Inc GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

67.13%

increased by 17.51%

1 Week

69.13%

increased by 19.51%

1 Month

76.43%

increased by 26.81%

Analysis last updated: Sunday, July 19, 2026 at 01:36 AM UTC

Date Range:

from

to

6M ·

All

graph of GMO TECH Holdings Inc GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 1, 2025 to Jul 17, 2026

Model Insight

With persistence 0.996, volatility shocks have a half-life of 189 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.64 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

165.8131
5.36***
α

ARCH

Response to squared shocks

0.2668
36.26***
β

GARCH

Volatility persistence

0.9963
1,644.12***
ν

DF

Student-t tail thickness

2.6436
24.76***

Persistence:

0.996

Half-life:

189 days