V-Lab
Nanjing Vazyme Biotech Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
76.91%
increased by 9.91%
1 Week
76.84%
increased by 9.84%
1 Month
76.58%
increased by 9.58%
Analysis last updated: Wednesday, August 5, 2026 at 06:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2021 to Jul 31, 2026Model Insight
Volatility shocks decay with a half-life of 62 trading days, meaning a shock loses half its impact after approximately 62 days. Returns follow a Student-t distribution with v = 4.20 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 | 21.5140 | 4.36*** |
α ARCH Response to squared shocks | 0.0994 | 32.06*** |
β GARCH Volatility persistence | 0.9888 | 449.88*** |
ν DF Student-t tail thickness | 4.1973 | 12.30*** |
Persistence:
0.989
Half-life:
62 days
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