V-Lab
Alpha Compute Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
116.82%
decreased by 12.39%
1 Week
121.47%
decreased by 7.74%
1 Month
134.50%
increased by 5.29%
Analysis last updated: Friday, August 21, 2026 at 09:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2020 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 15 trading days, meaning a shock loses half its impact after approximately 15 days. Returns follow a Student-t distribution with v = 3.05 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 | 105.7438 | 4.20*** |
α ARCH Response to squared shocks | 0.1166 | 25.93*** |
β GARCH Volatility persistence | 0.9554 | 99.92*** |
ν DF Student-t tail thickness | 3.0547 | 13.47*** |
Persistence:
0.955
Half-life:
15 days
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