V-Lab
International Business Machines Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
38.46%
increased by 3.74%
1 Week
38.31%
increased by 3.59%
1 Month
37.71%
increased by 2.99%
Analysis last updated: Saturday, September 12, 2026 at 12:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 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 ~78 daysv = 4.45 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.1938 | 0.94 |
| αARCH | 0.0664 | 9.19*** |
| βGARCH | 0.9911 | 104.93*** |
| νDF | 4.4502 | 3.23*** |
0.991
Persistence78d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1938 | 0.94 |
α ARCH Response to squared shocks | 0.0664 | 9.19*** |
β GARCH Volatility persistence | 0.9911 | 104.93*** |
ν DF Student-t tail thickness | 4.4502 | 3.23*** |
Persistence:
0.991
Half-life:
78 days
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