V-Lab
American Express Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
21.14%
1 Week
21.35%
1 Month
22.11%
Analysis last updated: Tuesday, September 15, 2026 at 09:20 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.
GAS-GARCH-T Model
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| 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-lifeGAS-GARCH-T Model
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| 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
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