Walt Disney Co/The GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
22.80%
decreased by 0.93%
1 Week
22.93%
decreased by 0.80%
1 Month
23.41%
decreased by 0.32%
Analysis last updated: Wednesday, October 14, 2026 at 10:38 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 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.12 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.992, shock half-life ~82 daysv = 5.12 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.4775 | 1.18 |
| αARCH | 0.0587 | 9.33*** |
| βGARCH | 0.9916 | 136.38*** |
| νDF | 5.1248 | 2.56** |
0.992
Persistence82d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4775 | 1.18 |
α ARCH Response to squared shocks | 0.0587 | 9.33*** |
β GARCH Volatility persistence | 0.9916 | 136.38*** |
ν DF Student-t tail thickness | 5.1248 | 2.56** |
Persistence:
0.992
Half-life:
82 days
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