V-Lab
American Express Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
21.21%
increased by 0.44%
1 Week
21.41%
increased by 0.64%
1 Month
22.17%
increased by 1.40%
Analysis last updated: Friday, September 11, 2026 at 11:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 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 = 5.55 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.995, shock half-life ~127 daysv = 5.55 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.9305 | 1.21 |
| αARCH | 0.0684 | 13.79*** |
| βGARCH | 0.9945 | 217.39*** |
| νDF | 5.5544 | 3.57*** |
0.995
Persistence127d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.9305 | 1.21 |
α ARCH Response to squared shocks | 0.0684 | 13.79*** |
β GARCH Volatility persistence | 0.9945 | 217.39*** |
ν DF Student-t tail thickness | 5.5544 | 3.57*** |
Persistence:
0.995
Half-life:
127 days
Other American Express Co Analyses
Other GAS-GARCH Student T Analyses on Equities