V-Lab
Canara Robeco Asset Management Co Ltd/India GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
39.12%
decreased by 10.17%
1 Week
41.02%
decreased by 8.27%
1 Month
43.01%
decreased by 6.28%
Analysis last updated: Saturday, August 22, 2026 at 09:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2025 to Aug 21, 2026Model 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 = 3.93 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 | 7.6463 | 3.09*** |
α ARCH Response to squared shocks | 0.1823 | 2.58*** |
β GARCH Volatility persistence | 0.7551 | 9.97*** |
ν DF Student-t tail thickness | 3.9338 | 1.64 |
Persistence:
0.755
Half-life:
2 days
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