V-Lab
Lena Lighting SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
21.84%
decreased by 1.15%
1 Week
22.35%
decreased by 0.64%
1 Month
24.17%
increased by 1.18%
Analysis last updated: Sunday, August 23, 2026 at 01:13 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 6, 2005 to Aug 21, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.28 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 | 6.5354 | 3.38*** |
α ARCH Response to squared shocks | 0.0617 | 40.41*** |
β GARCH Volatility persistence | 0.9903 | 357.62*** |
ν DF Student-t tail thickness | 3.2819 | 20.21*** |
Persistence:
0.990
Half-life:
71 days
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