V-Lab
Hexagon Composites Asa GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
42.55%
1 Week
43.03%
1 Month
44.82%
Analysis last updated: Sunday, September 20, 2026 at 02:01 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 18, 1997 to Sep 18, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 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 = 3.46 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 17.9453 | 0.91 |
| αARCH | 0.0472 | 12.04*** |
| βGARCH | 0.9923 | 118.01*** |
| νDF | 3.4573 | 4.75*** |
0.992
Persistence90d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 17.9453 | 0.91 |
α ARCH Response to squared shocks | 0.0472 | 12.04*** |
β GARCH Volatility persistence | 0.9923 | 118.01*** |
ν DF Student-t tail thickness | 3.4573 | 4.75*** |
Persistence:
0.992
Half-life:
90 days
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