CVS Health Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
27.32%
decreased by 1.00%
1 Week
27.35%
decreased by 0.97%
1 Month
27.47%
decreased by 0.85%
Analysis last updated: Tuesday, October 13, 2026 at 10:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 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
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High persistence: persistence 0.993, shock half-life ~96 daysv = 4.53 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4334 | 1.01 |
| αARCH | 0.0434 | 9.31*** |
| βGARCH | 0.9928 | 141.05*** |
| νDF | 4.5332 | 2.53** |
0.993
Persistence96d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4334 | 1.01 |
α ARCH Response to squared shocks | 0.0434 | 9.31*** |
β GARCH Volatility persistence | 0.9928 | 141.05*** |
ν DF Student-t tail thickness | 4.5332 | 2.53** |
Persistence:
0.993
Half-life:
96 days
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