Horizon Kinetics JPN QWN OPR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
21.43%
decreased by 0.43%
1 Week
21.33%
decreased by 0.53%
1 Month
21.04%
decreased by 0.82%
Analysis last updated: Tuesday, July 14, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 13, 2025 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 20 trading days, meaning a shock loses half its impact after approximately 20 days. 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 | 1.5833 | 2.36** |
α ARCH Response to squared shocks | 0.0281 | 3.55*** |
β GARCH Volatility persistence | 0.9664 | 95.84*** |
ν DF Student-t tail thickness | 6.3491 | 0.29 |
Persistence:
0.966
Half-life:
20 days
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