V-Lab
BlockFin Holdings Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 20th, 2026
1 Day
89.29%
decreased by 2.53%
1 Week
89.06%
decreased by 2.76%
1 Month
88.19%
decreased by 3.63%
Analysis last updated: Thursday, August 20, 2026 at 06:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2007 to Jul 17, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 102 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 = 2.90 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 | 19.7279 | 6.35*** |
α ARCH Response to squared shocks | 0.0739 | 70.75*** |
β GARCH Volatility persistence | 0.9932 | 1,046.61*** |
ν DF Student-t tail thickness | 2.9021 | 78.41*** |
Persistence:
0.993
Half-life:
102 days
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