V-Lab
Abbott Laboratories GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
26.60%
decreased by 0.38%
1 Week
26.56%
decreased by 0.42%
1 Month
26.44%
decreased by 0.54%
Analysis last updated: Monday, September 14, 2026 at 09:41 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
Volatility shocks decay with a half-life of 61 trading days, meaning a shock loses half its impact after approximately 61 days. Returns follow a Student-t distribution with v = 5.73 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 61-day half-lifev = 5.73 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.4893 | 1.22 |
| αARCH | 0.0571 | 6.94*** |
| βGARCH | 0.9888 | 96.57*** |
| νDF | 5.7322 | 1.56 |
0.989
Persistence61d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4893 | 1.22 |
α ARCH Response to squared shocks | 0.0571 | 6.94*** |
β GARCH Volatility persistence | 0.9888 | 96.57*** |
ν DF Student-t tail thickness | 5.7322 | 1.56 |
Persistence:
0.989
Half-life:
61 days
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