Casio Computer Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
28.45%
decreased by 0.65%
1 Week
28.60%
decreased by 0.50%
1 Month
29.20%
increased by 0.10%
Analysis last updated: Sunday, July 19, 2026 at 01:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 17, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 95 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.78 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 | 5.6810 | 3.83*** |
α ARCH Response to squared shocks | 0.0606 | 36.13*** |
β GARCH Volatility persistence | 0.9927 | 518.39*** |
ν DF Student-t tail thickness | 4.7824 | 11.93*** |
Persistence:
0.993
Half-life:
95 days
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