Samhallsbygg I Nor GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
70.29%
decreased by 4.86%
1 Week
73.41%
decreased by 1.74%
1 Month
82.62%
increased by 7.47%
Analysis last updated: Tuesday, July 14, 2026 at 06:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2023 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 = 2.82 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 | 46.1994 | 2.43** |
α ARCH Response to squared shocks | 0.0791 | 15.47*** |
β GARCH Volatility persistence | 0.9653 | 82.24*** |
ν DF Student-t tail thickness | 2.8213 | 8.88*** |
Persistence:
0.965
Half-life:
20 days
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