V-Lab
Croatia Zagreb Stock Exchange Crobex Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
14.10%
increased by 1.59%
1 Week
14.23%
increased by 1.72%
1 Month
14.73%
increased by 2.22%
Analysis last updated: Friday, July 24, 2026 at 11:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1997 to Jun 3, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.72 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 | 7.9838 | 7.03*** |
α ARCH Response to squared shocks | 0.0821 | 101.53*** |
β GARCH Volatility persistence | 0.9990 | 7,625.95*** |
ν DF Student-t tail thickness | 3.7197 | 62.06*** |
Persistence:
0.999
Half-life:
693 days
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