V-Lab
Fii Mogno Hoteis GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
491.61%
decreased by 91.87%
1 Week
490.10%
decreased by 93.38%
1 Month
484.50%
decreased by 98.98%
Analysis last updated: Thursday, October 1, 2026 at 10:34 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 14, 2020 to Sep 25, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.01 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.01 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 722.9778 | 2.02** |
| αARCH | 0.1148 | 16.94*** |
| βGARCH | 0.9874 | 177.84*** |
| νDF | 2.0097 | 1,772.20*** |
0.987
Persistence55d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 722.9778 | 2.02** |
α ARCH Response to squared shocks | 0.1148 | 16.94*** |
β GARCH Volatility persistence | 0.9874 | 177.84*** |
ν DF Student-t tail thickness | 2.0097 | 1,772.20*** |
Persistence:
0.987
Half-life:
55 days
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