V-Lab
Nissan Motor Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
49.66%
decreased by 2.81%
1 Week
49.60%
decreased by 2.87%
1 Month
49.34%
decreased by 3.13%
Analysis last updated: Saturday, August 22, 2026 at 11:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.81 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 | 7.3213 | 5.51*** |
α ARCH Response to squared shocks | 0.0694 | 59.55*** |
β GARCH Volatility persistence | 0.9947 | 1,071.88*** |
ν DF Student-t tail thickness | 5.8143 | 13.70*** |
Persistence:
0.995
Half-life:
131 days
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