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V-Lab

Canara Robeco Asset Management Co Ltd/India GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, August 14th, 2026

1 Day

33.69%

decreased by 0.39%

1 Week

38.09%

increased by 4.01%

1 Month

42.03%

increased by 7.95%

Analysis last updated: Friday, August 14, 2026 at 07:10 PM UTC

Date Range:

from

to

6M ·

All

graph of Canara Robeco Asset Management Co Ltd/India GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 16, 2025 to Aug 7, 2026

Model Insight

Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days. Returns follow a Student-t distribution with v = 4.21 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

7.5465
3.52***
α

ARCH

Response to squared shocks

0.1827
2.44**
β

GARCH

Volatility persistence

0.7310
10.59***
ν

DF

Student-t tail thickness

4.2143
1.43

Persistence:

0.731

Half-life:

2 days