American Express Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
19.47%
1 Week
19.71%
1 Month
20.60%
Analysis last updated: Thursday, October 22, 2026 at 09:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 127 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.54 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.9077 | 1.21 |
| αscore | 0.0683 | 13.79*** |
| βpersistence | 0.9945 | 216.39*** |
| νDF | 5.5412 | 3.58*** |
0.995
Persistence127d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.9077 | 1.21 |
α score Weight on the scaled score | 0.0683 | 13.79*** |
β persistence Volatility persistence | 0.9945 | 216.39*** |
ν DF Student-t tail thickness | 5.5412 | 3.58*** |
Persistence:
0.995
Half-life:
127 days
Other American Express Co Analyses
Other GAS-GARCH Student T Analyses on Equities