V-Lab
American Express Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
24.60%
decreased by 1.18%
1 Week
24.75%
decreased by 1.03%
1 Month
25.28%
decreased by 0.50%
Analysis last updated: Monday, August 24, 2026 at 09:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 128 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 | 4.9643 | 4.86*** |
α ARCH Response to squared shocks | 0.0683 | 55.46*** |
β GARCH Volatility persistence | 0.9946 | 880.17*** |
ν DF Student-t tail thickness | 5.5525 | 14.38*** |
Persistence:
0.995
Half-life:
128 days
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