V-Lab
Adani Green Energy GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
39.68%
increased by 3.76%
1 Week
39.65%
increased by 3.73%
1 Month
39.56%
increased by 3.64%
Analysis last updated: Wednesday, August 26, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2018 to Aug 21, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.57 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 | 2.3330 | 7.40*** |
α ARCH Response to squared shocks | 0.1381 | 102.32*** |
β GARCH Volatility persistence | 0.9990 | 6,572.37*** |
ν DF Student-t tail thickness | 2.5745 | 766.68*** |
Persistence:
0.999
Half-life:
693 days
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