Conpet SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
15.43%
decreased by 2.40%
1 Week
17.13%
decreased by 0.70%
1 Month
22.65%
increased by 4.82%
Analysis last updated: Tuesday, July 14, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 24, 2009 to Jul 10, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 657 trading days (~2.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.43 degrees of freedom, capturing fatter tails than a normal distribution.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 105.0385 | 9.69*** |
α ARCH Response to squared shocks | 0.1513 | 116.80*** |
β GARCH Volatility persistence | 0.9989 | 9,989.45*** |
ν DF Student-t tail thickness | 2.4303 | 265.64*** |
Persistence:
0.999
Half-life:
657 days
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