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Home Depot Inc/The GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 13th, 2026

1 Day

30.71%

decreased by 0.42%

1 Week

30.72%

decreased by 0.41%

1 Month

30.76%

decreased by 0.37%

Analysis last updated: Friday, July 10, 2026 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Home Depot Inc/The GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model Insight

With persistence 0.992, volatility shocks have a half-life of 89 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.08 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.9015
4.45***
α

ARCH

Response to squared shocks

0.0672
34.98***
β

GARCH

Volatility persistence

0.9922
551.84***
ν

DF

Student-t tail thickness

6.0810
8.02***

Persistence:

0.992

Half-life:

89 days