V-Lab
Kyoritsu Maintenance Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
29.79%
decreased by 1.45%
1 Week
30.49%
decreased by 0.75%
1 Month
30.90%
decreased by 0.34%
Analysis last updated: Sunday, July 26, 2026 at 12:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 20, 2021 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. Returns follow a Student-t distribution with v = 5.98 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 | 3.8230 | 18.47*** |
α ARCH Response to squared shocks | 0.1558 | 5.45*** |
β GARCH Volatility persistence | 0.5753 | 23.80*** |
ν DF Student-t tail thickness | 5.9787 | 1.69* |
Persistence:
0.575
Half-life:
1 days
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