V-Lab
International Business Machines Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
33.89%
decreased by 1.46%
1 Week
33.80%
decreased by 1.55%
1 Month
33.45%
decreased by 1.90%
Analysis last updated: Friday, August 21, 2026 at 10:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 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 = 4.44 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 | 3.1771 | 3.74*** |
α ARCH Response to squared shocks | 0.0667 | 36.24*** |
β GARCH Volatility persistence | 0.9910 | 412.04*** |
ν DF Student-t tail thickness | 4.4428 | 12.81*** |
Persistence:
0.991
Half-life:
76 days
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