Goldcrest Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
24.64%
increased by 1.86%
1 Week
24.84%
increased by 2.06%
1 Month
25.63%
increased by 2.85%
Analysis last updated: Sunday, July 19, 2026 at 02:23 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 14, 1998 to Jul 17, 2026Boundary Parameters
Model 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 | 22.2261 | 9.39*** |
α ARCH Response to squared shocks | 0.0466 | 75.13*** |
β GARCH Volatility persistence | 0.9990 | 9,990.00*** |
ν DF Student-t tail thickness | 4.4576 | 45.46*** |
Persistence:
0.999
Half-life:
693 days
Other Goldcrest Co Ltd Analyses
Other GAS-GARCH Student T Analyses on International Equities