V-Lab
Egyptian EGX 30 Price Return Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Sunday, September 27th, 2026
1 Day
18.82%
decreased by 0.04%
1 Week
19.27%
increased by 0.41%
1 Month
20.73%
increased by 1.87%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 27 trading days, meaning a shock loses half its impact after approximately 27 days. Returns follow a Student-t distribution with v = 4.97 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 27-day half-lifev = 4.97 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.7907 | 2.12** |
| αARCH | 0.1136 | 9.23*** |
| βGARCH | 0.9748 | 78.20*** |
| νDF | 4.9703 | 3.41*** |
0.975
Persistence27d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7907 | 2.12** |
α ARCH Response to squared shocks | 0.1136 | 9.23*** |
β GARCH Volatility persistence | 0.9748 | 78.20*** |
ν DF Student-t tail thickness | 4.9703 | 3.41*** |
Persistence:
0.975
Half-life:
27 days
Other Egyptian EGX 30 Price Return Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices