V-Lab
Goldcrest Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
24.12%
increased by 0.43%
1 Week
24.32%
increased by 0.63%
1 Month
25.13%
increased by 1.44%
Analysis last updated: Tuesday, July 28, 2026 at 07:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 14, 1998 to Jul 24, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.46 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 | 22.1529 | 9.39*** |
α ARCH Response to squared shocks | 0.0466 | 75.12*** |
β GARCH Volatility persistence | 0.9990 | 9,990.00*** |
ν DF Student-t tail thickness | 4.4577 | 45.48*** |
Persistence:
0.999
Half-life:
693 days
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