V-Lab
Capgemini Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
41.45%
decreased by 1.34%
1 Week
41.41%
decreased by 1.38%
1 Month
41.28%
decreased by 1.51%
Analysis last updated: Saturday, August 22, 2026 at 08:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 16, 2004 to Aug 21, 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 = 3.86 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 | 5.8275 | 3.79*** |
α ARCH Response to squared shocks | 0.0443 | 45.55*** |
β GARCH Volatility persistence | 0.9940 | 609.82*** |
ν DF Student-t tail thickness | 3.8563 | 16.86*** |
Persistence:
0.994
Half-life:
115 days
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