V-Lab
Walt Disney Co/The GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
29.37%
increased by 1.26%
1 Week
29.38%
increased by 1.27%
1 Month
29.40%
increased by 1.29%
Analysis last updated: Friday, July 24, 2026 at 10:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 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 = 5.10 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4914 | 4.71*** |
α ARCH Response to squared shocks | 0.0590 | 37.37*** |
β GARCH Volatility persistence | 0.9916 | 543.33*** |
ν DF Student-t tail thickness | 5.0986 | 10.37*** |
Persistence:
0.992
Half-life:
82 days
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