V-Lab
Nanjing Vazyme Biotech Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
83.98%
decreased by 1.43%
1 Week
83.92%
decreased by 1.49%
1 Month
83.71%
decreased by 1.70%
Analysis last updated: Friday, August 14, 2026 at 06:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2021 to Aug 7, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 80 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 = 4.17 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 | 25.8222 | 4.71*** |
α ARCH Response to squared shocks | 0.0991 | 34.44*** |
β GARCH Volatility persistence | 0.9913 | 647.09*** |
ν DF Student-t tail thickness | 4.1669 | 13.95*** |
Persistence:
0.991
Half-life:
80 days
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