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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2025 to Jul 24, 2026Model 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
| Parameter | Value | t-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
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