D.L.S.I. GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
195.70%
decreased by 5.11%
1 Week
188.40%
decreased by 12.41%
1 Month
172.01%
decreased by 28.80%
Analysis last updated: Friday, October 23, 2026 at 06:45 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 2006 to Oct 16, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.01 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.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.01 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 163.0447 | 1.22 |
| αscore | 0.1124 | 5.21*** |
| βpersistence | 0.8934 | 9.94*** |
| νDF | 2.0111 | 208.08*** |
0.893
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 163.0447 | 1.22 |
α score Weight on the scaled score | 0.1124 | 5.21*** |
β persistence Volatility persistence | 0.8934 | 9.94*** |
ν DF Student-t tail thickness | 2.0111 | 208.08*** |
Persistence:
0.893
Half-life:
6 days
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