Grayscale Avalanche Staking ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
63.50%
unchanged at 0.00%
1 Week
63.50%
unchanged at 0.00%
1 Month
63.50%
unchanged at 0.00%
Analysis last updated: Friday, October 16, 2026 at 10:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 12, 2026 to Oct 16, 2026Hessian SE
Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 3.67 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 40-day half-lifev = 3.67 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.9993 | 0.18 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9826 | 1.34 |
| νDF | 3.6747 | 0.21 |
0.983
Persistence40d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.9993 | 0.18 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9826 | 1.34 |
ν DF Student-t tail thickness | 3.6747 | 0.21 |
Persistence:
0.983
Half-life:
40 days
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