MBIA Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
29.20%
decreased by 1.35%
1 Week
29.37%
decreased by 1.18%
1 Month
30.04%
decreased by 0.51%
Analysis last updated: Friday, October 16, 2026 at 11:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 166 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 ~166 daysv = 4.09 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.2298 | 2.02** |
| αARCH | 0.0608 | 20.60*** |
| βGARCH | 0.9958 | 515.98*** |
| νDF | 4.0947 | 12.73*** |
0.996
Persistence166d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.2298 | 2.02** |
α ARCH Response to squared shocks | 0.0608 | 20.60*** |
β GARCH Volatility persistence | 0.9958 | 515.98*** |
ν DF Student-t tail thickness | 4.0947 | 12.73*** |
Persistence:
0.996
Half-life:
166 days
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