V-Lab
Arab CO. FOR AST M GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
43.47%
increased by 3.45%
1 Week
44.77%
increased by 4.75%
1 Month
49.50%
increased by 9.48%
Analysis last updated: Tuesday, August 25, 2026 at 06:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2018 to Aug 20, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 198 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.22 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 | 72.5724 | 5.29*** |
α ARCH Response to squared shocks | 0.1460 | 55.93*** |
β GARCH Volatility persistence | 0.9965 | 1,669.19*** |
ν DF Student-t tail thickness | 4.2227 | 25.33*** |
Persistence:
0.997
Half-life:
198 days
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