V-Lab
Bladex Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
27.71%
increased by 0.98%
1 Week
28.11%
increased by 1.38%
1 Month
29.45%
increased by 2.72%
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
Sep 24, 1992 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 29 trading days, meaning a shock loses half its impact after approximately 29 days. Returns follow a Student-t distribution with v = 3.78 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 | 4.9982 | 4.83*** |
α ARCH Response to squared shocks | 0.0999 | 29.49*** |
β GARCH Volatility persistence | 0.9767 | 206.14*** |
ν DF Student-t tail thickness | 3.7762 | 14.72*** |
Persistence:
0.977
Half-life:
29 days
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