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Gvs S P A GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, September 8th, 2026

1 Day

28.77%

decreased by 1.26%

1 Week

29.52%

decreased by 0.51%

1 Month

32.01%

increased by 1.98%

Analysis last updated: Tuesday, September 8, 2026 at 08:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Gvs S P A GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 19, 2020 to Sep 4, 2026

Model Insight

Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 3.42 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

Shock decay: Shocks decay with a 33-day half-lifev = 3.42 · fat tails
ParamValuet-stat
ωconst7.5419
0.75
αARCH0.0565
3.29***
βGARCH0.9791
35.10***
νDF3.4150
1.91*

0.979

Persistence

33d

Half-life
𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

7.5419
0.75
α

ARCH

Response to squared shocks

0.0565
3.29***
β

GARCH

Volatility persistence

0.9791
35.10***
ν

DF

Student-t tail thickness

3.4150
1.91*

Persistence:

0.979

Half-life:

33 days