V-Lab
Apple Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
26.61%
decreased by 0.31%
1 Week
26.77%
decreased by 0.15%
1 Month
27.38%
increased by 0.46%
Analysis last updated: Thursday, September 3, 2026 at 09:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 28, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 247 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.73 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 | 8.8020 | 1.57 |
α ARCH Response to squared shocks | 0.0483 | 18.64*** |
β GARCH Volatility persistence | 0.9972 | 600.36*** |
ν DF Student-t tail thickness | 4.7349 | 7.48*** |
Persistence:
0.997
Half-life:
247 days
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