V-Lab
Caracas Stock Exchange Stock Market Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
20.12%
decreased by 1.12%
1 Week
20.10%
decreased by 1.14%
1 Month
20.02%
decreased by 1.22%
Analysis last updated: Wednesday, August 19, 2026 at 05:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Aug 14, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.35 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 | 0.0000 | |
α ARCH Response to squared shocks | 0.0736 | 4.32*** |
β GARCH Volatility persistence | 0.9990 | 1,774.42*** |
ν DF Student-t tail thickness | 6.3451 | 4.02*** |
Persistence:
0.999
Half-life:
693 days
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