V-Lab
Everforth Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
87.44%
increased by 1.17%
1 Week
87.09%
increased by 0.82%
1 Month
85.75%
decreased by 0.52%
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
Sep 22, 1992 to Jul 24, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 104 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.30 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 | 12.2127 | 4.11*** |
α ARCH Response to squared shocks | 0.0553 | 46.59*** |
β GARCH Volatility persistence | 0.9933 | 642.52*** |
ν DF Student-t tail thickness | 4.3002 | 15.39*** |
Persistence:
0.993
Half-life:
104 days
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