V-Lab
Zhejiang Jianfeng Group GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
40.93%
increased by 0.59%
1 Week
41.28%
increased by 0.94%
1 Month
42.62%
increased by 2.28%
Analysis last updated: Saturday, August 22, 2026 at 06:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 28, 1993 to Aug 21, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 258 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.31 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 | 27.8804 | 5.54*** |
α ARCH Response to squared shocks | 0.0825 | 93.29*** |
β GARCH Volatility persistence | 0.9973 | 2,201.58*** |
ν DF Student-t tail thickness | 4.3106 | 42.90*** |
Persistence:
0.997
Half-life:
258 days
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