V-Lab
Japan Hotel Reit Invt Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
17.93%
decreased by 1.28%
1 Week
18.43%
decreased by 0.78%
1 Month
20.15%
increased by 0.94%
Analysis last updated: Thursday, October 1, 2026 at 09:28 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 14, 2006 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days. Returns follow a Student-t distribution with v = 3.51 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 59-day half-lifev = 3.51 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.3796 | 1.09 |
| αARCH | 0.0928 | 12.28*** |
| βGARCH | 0.9884 | 96.68*** |
| νDF | 3.5131 | 6.63*** |
0.988
Persistence59d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.3796 | 1.09 |
α ARCH Response to squared shocks | 0.0928 | 12.28*** |
β GARCH Volatility persistence | 0.9884 | 96.68*** |
ν DF Student-t tail thickness | 3.5131 | 6.63*** |
Persistence:
0.988
Half-life:
59 days
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