V-Lab
American Express Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.41%
increased by 4.37%
1 Week
31.45%
increased by 4.41%
1 Month
31.63%
increased by 4.59%
Analysis last updated: Friday, July 24, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 129 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 = 5.55 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 | 5.0070 | 4.87*** |
α ARCH Response to squared shocks | 0.0684 | 55.82*** |
β GARCH Volatility persistence | 0.9946 | 891.25*** |
ν DF Student-t tail thickness | 5.5454 | 14.55*** |
Persistence:
0.995
Half-life:
129 days
Other American Express Co Analyses
Other GAS-GARCH Student T Analyses on Equities