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V-Lab

GMO TECH Holdings Inc GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

57.28%

increased by 8.77%

1 Week

59.45%

increased by 10.94%

1 Month

67.25%

increased by 18.74%

Analysis last updated: Sunday, July 26, 2026 at 02:13 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 24, 2026

Model Insight

With persistence 0.996, volatility shocks have a half-life of 188 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 = 2.72 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

149.8648
5.30***
α

ARCH

Response to squared shocks

0.2638
36.64***
β

GARCH

Volatility persistence

0.9963
1,620.02***
ν

DF

Student-t tail thickness

2.7163
22.47***

Persistence:

0.996

Half-life:

188 days