V-Lab
MBIA Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
37.76%
decreased by 2.10%
1 Week
37.83%
decreased by 2.03%
1 Month
38.12%
decreased by 1.74%
Analysis last updated: Tuesday, August 25, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.3444 | 8.13*** |
α ARCH Response to squared shocks | 0.0610 | 82.63*** |
β GARCH Volatility persistence | 0.9959 | 2,100.98*** |
ν DF Student-t tail thickness | 4.0904 | 51.67*** |
Persistence:
0.996
Half-life:
167 days
Other GAS-GARCH Student T Analyses on Equities