V-Lab
Canary Litecoin Etf GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 30th, 2026
1 Day
77.78%
decreased by 4.71%
1 Week
78.31%
decreased by 4.18%
1 Month
80.31%
decreased by 2.18%
Analysis last updated: Tuesday, September 29, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 27, 2025 to Sep 25, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 132 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 = 5.44 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.995, shock half-life ~132 daysv = 5.44 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 55.3046 | 1.51 |
| αARCH | 0.1139 | 3.96*** |
| βGARCH | 0.9948 | 250.00*** |
| νDF | 5.4376 | 0.95 |
0.995
Persistence132d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 55.3046 | 1.51 |
α ARCH Response to squared shocks | 0.1139 | 3.96*** |
β GARCH Volatility persistence | 0.9948 | 250.00*** |
ν DF Student-t tail thickness | 5.4376 | 0.95 |
Persistence:
0.995
Half-life:
132 days
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