V-Lab
Dow Inc. GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
44.84%
increased by 2.52%
1 Week
44.80%
increased by 2.48%
1 Month
44.63%
increased by 2.31%
Analysis last updated: Tuesday, August 25, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 20, 2019 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.83 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 | 6.4496 | 5.53*** |
α ARCH Response to squared shocks | 0.0493 | 26.83*** |
β GARCH Volatility persistence | 0.9950 | 1,454.67*** |
ν DF Student-t tail thickness | 5.8342 | 6.41*** |
Persistence:
0.995
Half-life:
138 days
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