V-Lab
Big Sky Industrial Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
57.04%
decreased by 4.33%
1 Week
58.53%
decreased by 2.84%
1 Month
63.57%
increased by 2.20%
Analysis last updated: Tuesday, August 25, 2026 at 09:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 4.01 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 | 33.2902 | 5.03*** |
α ARCH Response to squared shocks | 0.0897 | 38.93*** |
β GARCH Volatility persistence | 0.9830 | 289.96*** |
ν DF Student-t tail thickness | 4.0060 | 15.56*** |
Persistence:
0.983
Half-life:
40 days
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