Capgemini Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
42.72%
increased by 0.09%
1 Week
42.67%
increased by 0.04%
1 Month
42.48%
decreased by 0.15%
Analysis last updated: Tuesday, July 14, 2026 at 06:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 16, 2004 to Jul 10, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 115 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 = 3.85 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 | 5.8141 | 3.80*** |
α ARCH Response to squared shocks | 0.0441 | 45.65*** |
β GARCH Volatility persistence | 0.9940 | 612.45*** |
ν DF Student-t tail thickness | 3.8483 | 16.94*** |
Persistence:
0.994
Half-life:
115 days
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