Ford Motor Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
32.23%
decreased by 0.70%
1 Week
32.31%
decreased by 0.62%
1 Month
32.61%
decreased by 0.32%
Analysis last updated: Thursday, October 8, 2026 at 09:56 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 2, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 91 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 = 5.46 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 ~91 daysv = 5.46 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.4665 | 1.10 |
| αARCH | 0.0528 | 8.48*** |
| βGARCH | 0.9924 | 143.04*** |
| νDF | 5.4564 | 1.99** |
0.992
Persistence91d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4665 | 1.10 |
α ARCH Response to squared shocks | 0.0528 | 8.48*** |
β GARCH Volatility persistence | 0.9924 | 143.04*** |
ν DF Student-t tail thickness | 5.4564 | 1.99** |
Persistence:
0.992
Half-life:
91 days
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