V-Lab
Luxembourg Stock Exchange LuxX Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.58%
decreased by 0.64%
1 Week
19.60%
decreased by 0.62%
1 Month
19.68%
decreased by 0.54%
Analysis last updated: Saturday, July 25, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 62 trading days, meaning a shock loses half its impact after approximately 62 days. Returns follow a Student-t distribution with v = 6.66 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 | 1.6789 | 6.63*** |
α ARCH Response to squared shocks | 0.0643 | 34.07*** |
β GARCH Volatility persistence | 0.9888 | 546.61*** |
ν DF Student-t tail thickness | 6.6649 | 6.11*** |
Persistence:
0.989
Half-life:
62 days
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