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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2025 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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