V-Lab
Inversora Juramento Sa GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
534.22%
decreased by 39.41%
1 Week
536.60%
decreased by 37.03%
1 Month
545.72%
decreased by 27.91%
Analysis last updated: Saturday, July 25, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2011 to Jul 24, 2026Extended Optimization
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2,124.7280 | 6.03*** |
α ARCH Response to squared shocks | 0.0696 | 100.93*** |
β GARCH Volatility persistence | 0.9949 | 1,148.81*** |
ν DF Student-t tail thickness | 2.0021 |
Persistence:
0.995
Half-life:
135 days
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