V-Lab
Leonardo Drs Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
47.16%
decreased by 0.66%
1 Week
49.45%
increased by 1.63%
1 Month
56.65%
increased by 8.83%
Analysis last updated: Wednesday, August 5, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1993 to Jul 31, 2026Model Insight
Volatility shocks decay with a half-life of 31 trading days, meaning a shock loses half its impact after approximately 31 days. Returns follow a Student-t distribution with v = 3.44 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 | 29.2866 | 5.42*** |
α ARCH Response to squared shocks | 0.1046 | 43.94*** |
β GARCH Volatility persistence | 0.9782 | 244.72*** |
ν DF Student-t tail thickness | 3.4441 | 23.33*** |
Persistence:
0.978
Half-life:
31 days
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