Coil GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
4.06%
unchanged at 0.00%
1 Week
4.75%
increased by 0.69%
1 Month
6.83%
increased by 2.77%
Analysis last updated: Tuesday, July 21, 2026 at 06:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 7, 1999 to Jul 17, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 12.1343 | 16.48*** |
α ARCH Response to squared shocks | 0.0740 | 329.00*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 2.0001 |
Persistence:
0.999
Half-life:
693 days
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