V-Lab
Interactive Brokers Group Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
46.38%
increased by 5.01%
1 Week
46.24%
increased by 4.87%
1 Month
45.73%
increased by 4.36%
Analysis last updated: Tuesday, August 25, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2007 to Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 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 = 4.90 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 | 5.5390 | 3.79*** |
α ARCH Response to squared shocks | 0.0639 | 33.68*** |
β GARCH Volatility persistence | 0.9916 | 452.59*** |
ν DF Student-t tail thickness | 4.8972 | 9.75*** |
Persistence:
0.992
Half-life:
82 days
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