V-Lab
Canadian Apartment Properties REIT GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
14.83%
increased by 1.32%
1 Week
15.31%
increased by 1.80%
1 Month
16.75%
increased by 3.24%
Analysis last updated: Friday, October 2, 2026 at 09:02 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1998 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 20 trading days, meaning a shock loses half its impact after approximately 20 days. Returns follow a Student-t distribution with v = 5.17 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 20-day half-lifev = 5.17 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7266 | 2.24** |
| αARCH | 0.0917 | 5.96*** |
| βGARCH | 0.9653 | 61.77*** |
| νDF | 5.1659 | 1.92* |
0.965
Persistence20d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7266 | 2.24** |
α ARCH Response to squared shocks | 0.0917 | 5.96*** |
β GARCH Volatility persistence | 0.9653 | 61.77*** |
ν DF Student-t tail thickness | 5.1659 | 1.92* |
Persistence:
0.965
Half-life:
20 days
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