V-Lab
General Mills Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
30.00%
decreased by 0.75%
1 Week
29.85%
decreased by 0.90%
1 Month
29.28%
decreased by 1.47%
Analysis last updated: Friday, September 18, 2026 at 11:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 70 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 = 4.95 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.990, shock half-life ~70 daysv = 4.95 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7539 | 1.10 |
| αARCH | 0.0474 | 6.60*** |
| βGARCH | 0.9901 | 105.94*** |
| νDF | 4.9515 | 1.83* |
0.990
Persistence70d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7539 | 1.10 |
α ARCH Response to squared shocks | 0.0474 | 6.60*** |
β GARCH Volatility persistence | 0.9901 | 105.94*** |
ν DF Student-t tail thickness | 4.9515 | 1.83* |
Persistence:
0.990
Half-life:
70 days
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