V-Lab
G-Devs SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
475.61%
increased by 166.16%
1 Week
480.56%
increased by 171.11%
1 Month
499.15%
increased by 189.70%
Analysis last updated: Sunday, August 23, 2026 at 01:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 4, 2024 to Aug 21, 2026Extended Optimization
Convergence Warning
Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.32 degrees of freedom, capturing fatter tails than a normal distribution.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2,491.9692 | 6.99*** |
α ARCH Response to squared shocks | 0.3002 | 62.96*** |
β GARCH Volatility persistence | 0.9941 | 1,354.32*** |
ν DF Student-t tail thickness | 2.3183 | 94.12*** |
Persistence:
0.994
Half-life:
117 days
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