Aqylon Nexus Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
59.90%
decreased by 13.23%
1 Week
60.54%
decreased by 12.59%
1 Month
63.05%
decreased by 10.08%
Analysis last updated: Tuesday, July 14, 2026 at 06:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 7, 2001 to Jul 10, 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 = 2.85 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 | 169.3089 | 5.77*** |
α ARCH Response to squared shocks | 0.1753 | 159.81*** |
β GARCH Volatility persistence | 0.9990 | 5,741.38*** |
ν DF Student-t tail thickness | 2.8479 | 448.49*** |
Persistence:
0.999
Half-life:
693 days
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