Budapest Stock Exchange Budapest Stock Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
19.31%
decreased by 1.70%
1 Week
19.51%
decreased by 1.50%
1 Month
20.19%
decreased by 0.82%
Analysis last updated: Thursday, October 22, 2026 at 05:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1991 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days. Returns follow a Student-t distribution with v = 5.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 38-day half-lifev = 5.72 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.4160 | 2.45** |
| αscore | 0.1064 | 11.93*** |
| βpersistence | 0.9818 | 125.99*** |
| νDF | 5.7193 | 3.52*** |
0.982
Persistence38d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.4160 | 2.45** |
α score Weight on the scaled score | 0.1064 | 11.93*** |
β persistence Volatility persistence | 0.9818 | 125.99*** |
ν DF Student-t tail thickness | 5.7193 | 3.52*** |
Persistence:
0.982
Half-life:
38 days
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