V-Lab
Egyptian Financial Group Hermes Stock Market Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Sunday, July 26th, 2026
1 Day
13.24%
decreased by 1.26%
1 Week
13.69%
decreased by 0.81%
1 Month
15.25%
increased by 0.75%
Analysis last updated: Friday, July 24, 2026 at 11:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1995 to Jul 23, 2026Model Insight
With persistence 0.993, 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 | 3.8580 | 5.46*** |
α ARCH Response to squared shocks | 0.1118 | 79.83*** |
β GARCH Volatility persistence | 0.9925 | 732.48*** |
ν DF Student-t tail thickness | 4.1334 | 37.67*** |
Persistence:
0.993
Half-life:
92 days
Other GAS-GARCH Student T Analyses on Equity Indices