V-Lab
Lena Lighting SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
26.31%
increased by 1.09%
1 Week
26.66%
increased by 1.44%
1 Month
27.96%
increased by 2.74%
Analysis last updated: Tuesday, August 11, 2026 at 09:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 6, 2005 to Aug 7, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 69 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 | 6.5546 | 3.36*** |
α ARCH Response to squared shocks | 0.0622 | 39.68*** |
β GARCH Volatility persistence | 0.9900 | 346.16*** |
ν DF Student-t tail thickness | 3.2815 | 19.83*** |
Persistence:
0.990
Half-life:
69 days
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