V-Lab
Alphabet Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
40.62%
decreased by 2.00%
1 Week
40.52%
decreased by 2.10%
1 Month
40.13%
decreased by 2.49%
Analysis last updated: Friday, July 24, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 19, 2004 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.5829 | 3.36*** |
α ARCH Response to squared shocks | 0.0595 | 36.07*** |
β GARCH Volatility persistence | 0.9916 | 399.19*** |
ν DF Student-t tail thickness | 4.2254 | 11.58*** |
Persistence:
0.992
Half-life:
82 days
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