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V-Lab

Datamatics Global Services GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 14th, 2026

1 Day

48.48%

decreased by 4.67%

1 Week

49.52%

decreased by 3.63%

1 Month

52.35%

decreased by 0.80%

Analysis last updated: Tuesday, July 14, 2026 at 06:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Datamatics Global Services GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 1, 2004 to Jul 10, 2026

Model 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 = 3.30 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

13.3140
5.66***
α

ARCH

Response to squared shocks

0.0994
20.04***
β

GARCH

Volatility persistence

0.9469
102.54***
ν

DF

Student-t tail thickness

3.3003
11.14***

Persistence:

0.947

Half-life:

13 days