V-Lab
CVS Health Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
30.40%
increased by 3.15%
1 Week
30.39%
increased by 3.14%
1 Month
30.34%
increased by 3.09%
Analysis last updated: Wednesday, August 5, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 96 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.51 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 | 3.4603 | 4.03*** |
α ARCH Response to squared shocks | 0.0439 | 37.49*** |
β GARCH Volatility persistence | 0.9928 | 561.85*** |
ν DF Student-t tail thickness | 4.5060 | 10.32*** |
Persistence:
0.993
Half-life:
96 days
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