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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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