Datamatics Global Services GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
45.82%
decreased by 3.51%
1 Week
47.10%
decreased by 2.23%
1 Month
50.62%
increased by 1.29%
Analysis last updated: Friday, October 23, 2026 at 07:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 2004 to Oct 19, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. Returns follow a Student-t distribution with v = 3.32 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 13-day half-lifev = 3.32 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 13.1258 | 1.42 |
| αscore | 0.0986 | 5.05*** |
| βpersistence | 0.9479 | 26.41*** |
| νDF | 3.3183 | 2.78*** |
0.948
Persistence13d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 13.1258 | 1.42 |
α score Weight on the scaled score | 0.0986 | 5.05*** |
β persistence Volatility persistence | 0.9479 | 26.41*** |
ν DF Student-t tail thickness | 3.3183 | 2.78*** |
Persistence:
0.948
Half-life:
13 days
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