V-Lab
Nitta Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
28.03%
decreased by 1.61%
1 Week
28.33%
decreased by 1.31%
1 Month
29.40%
decreased by 0.24%
Analysis last updated: Thursday, October 1, 2026 at 09:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 20, 1995 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 46 trading days, meaning a shock loses half its impact after approximately 46 days. Returns follow a Student-t distribution with v = 4.23 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 46-day half-lifev = 4.23 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.4294 | 1.28 |
| αARCH | 0.0710 | 8.20*** |
| βGARCH | 0.9851 | 83.84*** |
| νDF | 4.2338 | 3.02*** |
0.985
Persistence46d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4294 | 1.28 |
α ARCH Response to squared shocks | 0.0710 | 8.20*** |
β GARCH Volatility persistence | 0.9851 | 83.84*** |
ν DF Student-t tail thickness | 4.2338 | 3.02*** |
Persistence:
0.985
Half-life:
46 days
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