V-Lab
CarMax Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
48.77%
decreased by 2.25%
1 Week
48.80%
decreased by 2.22%
1 Month
48.91%
decreased by 2.11%
Analysis last updated: Friday, July 24, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 4, 1997 to Jul 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 129 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.78 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 | 10.4378 | 4.96*** |
α ARCH Response to squared shocks | 0.0483 | 53.19*** |
β GARCH Volatility persistence | 0.9946 | 979.94*** |
ν DF Student-t tail thickness | 3.7750 | 28.73*** |
Persistence:
0.995
Half-life:
129 days
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