V-Lab
HP Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
63.90%
decreased by 3.12%
1 Week
63.57%
decreased by 3.45%
1 Month
62.31%
decreased by 4.71%
Analysis last updated: Friday, September 18, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 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 = 4.41 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.992, shock half-life ~84 daysv = 4.41 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.0191 | 0.91 |
| αARCH | 0.0547 | 8.67*** |
| βGARCH | 0.9918 | 106.25*** |
| νDF | 4.4087 | 2.84*** |
0.992
Persistence84d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.0191 | 0.91 |
α ARCH Response to squared shocks | 0.0547 | 8.67*** |
β GARCH Volatility persistence | 0.9918 | 106.25*** |
ν DF Student-t tail thickness | 4.4087 | 2.84*** |
Persistence:
0.992
Half-life:
84 days
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