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V-Lab

Nj Holdings Inc GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

30.40%

increased by 0.94%

1 Week

35.17%

increased by 5.71%

1 Month

49.78%

increased by 20.32%

Analysis last updated: Saturday, August 22, 2026 at 11:54 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Nj Holdings Inc GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 21, 2006 to Aug 21, 2026
Boundary 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 = 2.43 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

624.3333
7.05***
α

ARCH

Response to squared shocks

0.1543
140.65***
β

GARCH

Volatility persistence

0.9990
7,239.13***
ν

DF

Student-t tail thickness

2.4254
413.33***

Persistence:

0.999

Half-life:

693 days