V-Lab
HP Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
48.17%
increased by 3.96%
1 Week
48.02%
increased by 3.81%
1 Month
47.46%
increased by 3.25%
Analysis last updated: Friday, July 24, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 81 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.40 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 | 5.9092 | 3.63*** |
α ARCH Response to squared shocks | 0.0546 | 33.82*** |
β GARCH Volatility persistence | 0.9915 | 409.03*** |
ν DF Student-t tail thickness | 4.4008 | 11.01*** |
Persistence:
0.991
Half-life:
81 days
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