Apple Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
20.41%
1 Week
20.64%
1 Month
21.51%
Analysis last updated: Friday, October 23, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 282 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.07 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 9.2068 | 1.61 |
| αscore | 0.0494 | 18.39*** |
| βpersistence | 0.9975 | 697.09*** |
| νDF | 5.0655 | 7.02*** |
0.998
Persistence282d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 9.2068 | 1.61 |
α score Weight on the scaled score | 0.0494 | 18.39*** |
β persistence Volatility persistence | 0.9975 | 697.09*** |
ν DF Student-t tail thickness | 5.0655 | 7.02*** |
Persistence:
0.998
Half-life:
282 days
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