V-Lab
Conpet SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
16.01%
decreased by 2.58%
1 Week
17.61%
decreased by 0.98%
1 Month
22.87%
increased by 4.28%
Analysis last updated: Tuesday, August 25, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 24, 2009 to Aug 21, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 609 trading days (~2.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.44 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 | 94.7450 | 9.53*** |
α ARCH Response to squared shocks | 0.1508 | 116.88*** |
β GARCH Volatility persistence | 0.9989 | 9,163.87*** |
ν DF Student-t tail thickness | 2.4437 | 255.27*** |
Persistence:
0.999
Half-life:
609 days
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