Nitta Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
42.83%
decreased by 2.34%
1 Week
42.66%
decreased by 2.51%
1 Month
42.03%
decreased by 3.14%
Analysis last updated: Thursday, October 22, 2026 at 07:33 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 20, 1995 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 47 trading days, meaning a shock loses half its impact after approximately 47 days. Returns follow a Student-t distribution with v = 4.24 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 47-day half-lifev = 4.24 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.4833 | 1.28 |
| αscore | 0.0710 | 8.24*** |
| βpersistence | 0.9853 | 84.73*** |
| νDF | 4.2437 | 3.03*** |
0.985
Persistence47d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.4833 | 1.28 |
α score Weight on the scaled score | 0.0710 | 8.24*** |
β persistence Volatility persistence | 0.9853 | 84.73*** |
ν DF Student-t tail thickness | 4.2437 | 3.03*** |
Persistence:
0.985
Half-life:
47 days
Other GAS-GARCH Student T Analyses on International Equities