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V-Lab

Datamatics Global Services GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, July 24th, 2026

1 Day

36.45%

decreased by 2.51%

1 Week

39.12%

increased by 0.16%

1 Month

45.93%

increased by 6.97%

Analysis last updated: Friday, July 24, 2026 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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 17, 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

13.2931
5.63***
α

ARCH

Response to squared shocks

0.0989
20.02***
β

GARCH

Volatility persistence

0.9472
102.78***
ν

DF

Student-t tail thickness

3.2985
11.13***

Persistence:

0.947

Half-life:

13 days