V-Lab
Alphabet Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
29.11%
increased by 0.47%
1 Week
29.19%
increased by 0.55%
1 Month
29.50%
increased by 0.86%
Analysis last updated: Friday, October 2, 2026 at 10:37 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 19, 2004 to Oct 2, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 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 = 4.23 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~77 daysv = 4.23 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.4490 | 0.83 |
| αARCH | 0.0597 | 8.54*** |
| βGARCH | 0.9911 | 92.50*** |
| νDF | 4.2340 | 2.73*** |
0.991
Persistence77d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.4490 | 0.83 |
α ARCH Response to squared shocks | 0.0597 | 8.54*** |
β GARCH Volatility persistence | 0.9911 | 92.50*** |
ν DF Student-t tail thickness | 4.2340 | 2.73*** |
Persistence:
0.991
Half-life:
77 days
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