Alphabet Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
29.34%
1 Week
29.42%
1 Month
29.71%
Analysis last updated: Friday, October 23, 2026 at 10:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 19, 2004 to Oct 23, 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 = 4.26 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.4545 | 0.82 |
| αscore | 0.0599 | 8.46*** |
| βpersistence | 0.9911 | 91.22*** |
| νDF | 4.2566 | 2.67*** |
0.991
Persistence77d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.4545 | 0.82 |
α score Weight on the scaled score | 0.0599 | 8.46*** |
β persistence Volatility persistence | 0.9911 | 91.22*** |
ν DF Student-t tail thickness | 4.2566 | 2.67*** |
Persistence:
0.991
Half-life:
77 days
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