V-Lab
Megachips Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
41.52%
decreased by 2.64%
1 Week
41.86%
decreased by 2.30%
1 Month
43.11%
decreased by 1.05%
Analysis last updated: Sunday, July 26, 2026 at 02:58 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 17, 1998 to Jul 24, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 69 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 = 3.93 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 | 12.5585 | 3.63*** |
α ARCH Response to squared shocks | 0.0735 | 39.01*** |
β GARCH Volatility persistence | 0.9900 | 363.85*** |
ν DF Student-t tail thickness | 3.9335 | 16.11*** |
Persistence:
0.990
Half-life:
69 days
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