MBIA Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
27.61%
1 Week
27.80%
1 Month
28.53%
Analysis last updated: Thursday, October 22, 2026 at 09:44 PM UTC
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.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 8.2298 | 2.02** |
| αscore | 0.0608 | 20.60*** |
| βpersistence | 0.9958 | 515.98*** |
| νDF | 4.0947 | 12.73*** |
0.996
Persistence166d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 8.2298 | 2.02** |
α score Weight on the scaled score | 0.0608 | 20.60*** |
β persistence 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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