V-Lab
Egyptian Financial Group Hermes Stock Market Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Sunday, August 23rd, 2026
1 Day
20.19%
increased by 3.85%
1 Week
20.39%
increased by 4.05%
1 Month
21.17%
increased by 4.83%
Analysis last updated: Friday, August 21, 2026 at 08:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1995 to Aug 20, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 92 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 = 4.13 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 | 3.8572 | 5.44*** |
α ARCH Response to squared shocks | 0.1117 | 79.46*** |
β GARCH Volatility persistence | 0.9925 | 726.01*** |
ν DF Student-t tail thickness | 4.1329 | 37.42*** |
Persistence:
0.992
Half-life:
92 days
Other GAS-GARCH Student T Analyses on Equity Indices