V-Lab
Gvs S P A GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
33.30%
decreased by 0.78%
1 Week
33.80%
decreased by 0.28%
1 Month
35.46%
increased by 1.38%
Analysis last updated: Saturday, September 19, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2020 to Sep 18, 2026Model Insight
Volatility shocks decay with a half-life of 32 trading days, meaning a shock loses half its impact after approximately 32 days. Returns follow a Student-t distribution with v = 3.43 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 32-day half-lifev = 3.43 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.5110 | 0.74 |
| αARCH | 0.0573 | 3.18*** |
| βGARCH | 0.9783 | 33.63*** |
| νDF | 3.4327 | 1.82* |
0.978
Persistence32d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.5110 | 0.74 |
α ARCH Response to squared shocks | 0.0573 | 3.18*** |
β GARCH Volatility persistence | 0.9783 | 33.63*** |
ν DF Student-t tail thickness | 3.4327 | 1.82* |
Persistence:
0.978
Half-life:
32 days
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