V-Lab
Freehold Royalties Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
19.61%
increased by 0.27%
1 Week
19.92%
increased by 0.58%
1 Month
21.03%
increased by 1.69%
Analysis last updated: Wednesday, August 26, 2026 at 07:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 20, 1997 to Aug 21, 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 = 5.30 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 | 4.0282 | 5.53*** |
α ARCH Response to squared shocks | 0.0677 | 33.96*** |
β GARCH Volatility persistence | 0.9902 | 588.37*** |
ν DF Student-t tail thickness | 5.2982 | 10.28*** |
Persistence:
0.990
Half-life:
71 days
Other Freehold Royalties Ltd Analyses
Other GAS-GARCH Student T Analyses on International Equities