V-Lab
CVS Health Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
27.50%
increased by 0.43%
1 Week
27.52%
increased by 0.45%
1 Month
27.63%
increased by 0.56%
Analysis last updated: Friday, September 18, 2026 at 11:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 = 4.53 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.993, shock half-life ~96 daysv = 4.53 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4341 | 1.01 |
| αARCH | 0.0435 | 9.29*** |
| βGARCH | 0.9928 | 140.59*** |
| νDF | 4.5314 | 2.53** |
0.993
Persistence96d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4341 | 1.01 |
α ARCH Response to squared shocks | 0.0435 | 9.29*** |
β GARCH Volatility persistence | 0.9928 | 140.59*** |
ν DF Student-t tail thickness | 4.5314 | 2.53** |
Persistence:
0.993
Half-life:
96 days
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