V-Lab
International Business Machines Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
33.84%
decreased by 0.58%
1 Week
33.75%
decreased by 0.67%
1 Month
33.41%
decreased by 1.01%
Analysis last updated: Friday, October 2, 2026 at 11:42 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 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 = 4.45 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.991, shock half-life ~77 daysv = 4.45 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.1830 | 0.94 |
| αARCH | 0.0663 | 9.16*** |
| βGARCH | 0.9911 | 104.70*** |
| νDF | 4.4547 | 3.21*** |
0.991
Persistence77d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1830 | 0.94 |
α ARCH Response to squared shocks | 0.0663 | 9.16*** |
β GARCH Volatility persistence | 0.9911 | 104.70*** |
ν DF Student-t tail thickness | 4.4547 | 3.21*** |
Persistence:
0.991
Half-life:
77 days
Other International Business Machines Corp Analyses
Other GAS-GARCH Student T Analyses on Equities