V-Lab
Apple Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
29.14%
1 Week
29.27%
1 Month
29.78%
Analysis last updated: Monday, September 14, 2026 at 09:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 248 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 = 4.74 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.8184 | 1.57 |
| αARCH | 0.0482 | 18.61*** |
| βGARCH | 0.9972 | 602.18*** |
| νDF | 4.7395 | 7.45*** |
0.997
Persistence248d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.8184 | 1.57 |
α ARCH Response to squared shocks | 0.0482 | 18.61*** |
β GARCH Volatility persistence | 0.9972 | 602.18*** |
ν DF Student-t tail thickness | 4.7395 | 7.45*** |
Persistence:
0.997
Half-life:
248 days
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