V-Lab
MBIA Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
36.48%
increased by 2.47%
1 Week
36.56%
increased by 2.55%
1 Month
36.89%
increased by 2.88%
Analysis last updated: Friday, September 18, 2026 at 11:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 167 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.09 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.996, shock half-life ~167 daysv = 4.09 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.2909 | 2.03** |
| αARCH | 0.0608 | 20.62*** |
| βGARCH | 0.9959 | 522.21*** |
| νDF | 4.0920 | 12.84*** |
0.996
Persistence167d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.2909 | 2.03** |
α ARCH Response to squared shocks | 0.0608 | 20.62*** |
β GARCH Volatility persistence | 0.9959 | 522.21*** |
ν DF Student-t tail thickness | 4.0920 | 12.84*** |
Persistence:
0.996
Half-life:
167 days
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