Freehold Royalties Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
22.81%
decreased by 1.11%
1 Week
23.02%
decreased by 0.90%
1 Month
23.80%
decreased by 0.12%
Analysis last updated: Wednesday, July 15, 2026 at 09:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 20, 1997 to Jul 10, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 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 = 5.27 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 | 4.0535 | 5.48*** |
α ARCH Response to squared shocks | 0.0677 | 33.96*** |
β GARCH Volatility persistence | 0.9902 | 583.18*** |
ν DF Student-t tail thickness | 5.2704 | 10.33*** |
Persistence:
0.990
Half-life:
71 days
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