Megachips Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
50.00%
increased by 7.45%
1 Week
50.13%
increased by 7.58%
1 Month
50.63%
increased by 8.08%
Analysis last updated: Sunday, July 19, 2026 at 02:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 17, 1998 to Jul 17, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.94 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 | 12.6647 | 3.63*** |
α ARCH Response to squared shocks | 0.0729 | 39.66*** |
β GARCH Volatility persistence | 0.9903 | 374.13*** |
ν DF Student-t tail thickness | 3.9355 | 16.33*** |
Persistence:
0.990
Half-life:
71 days
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