V-Lab
Capgemini Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
46.15%
1 Week
46.07%
1 Month
45.76%
Analysis last updated: Tuesday, September 8, 2026 at 08:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 16, 2004 to Sep 4, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 120 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.86 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.9123 | 0.96 |
| αARCH | 0.0440 | 11.70*** |
| βGARCH | 0.9942 | 162.48*** |
| νDF | 3.8639 | 4.37*** |
0.994
Persistence120d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.9123 | 0.96 |
α ARCH Response to squared shocks | 0.0440 | 11.70*** |
β GARCH Volatility persistence | 0.9942 | 162.48*** |
ν DF Student-t tail thickness | 3.8639 | 4.37*** |
Persistence:
0.994
Half-life:
120 days
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