V-Lab
D.L.S.I. GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
115.32%
increased by 16.77%
1 Week
125.30%
increased by 26.75%
1 Month
144.04%
increased by 45.49%
Analysis last updated: Saturday, August 22, 2026 at 08:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 2006 to Aug 21, 2026Extended Optimization
Model Insight
The estimated Student-t degrees of freedom v = 2.02 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 102.3704 | 4.89*** |
α ARCH Response to squared shocks | 0.1141 | 20.87*** |
β GARCH Volatility persistence | 0.8931 | 39.95*** |
ν DF Student-t tail thickness | 2.0179 | 524.82*** |
Persistence:
0.893
Half-life:
6 days
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