V-Lab
MacroGenics Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
65.73%
decreased by 2.29%
1 Week
66.06%
decreased by 1.96%
1 Month
67.20%
decreased by 0.82%
Analysis last updated: Friday, September 11, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2013 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 32 trading days, meaning a shock loses half its impact after approximately 32 days. Returns follow a Student-t distribution with v = 4.23 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 32-day half-lifev = 4.23 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 21.2269 | 0.94 |
| αARCH | 0.0439 | 2.74*** |
| βGARCH | 0.9783 | 48.20*** |
| νDF | 4.2293 | 0.99 |
0.978
Persistence32d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 21.2269 | 0.94 |
α ARCH Response to squared shocks | 0.0439 | 2.74*** |
β GARCH Volatility persistence | 0.9783 | 48.20*** |
ν DF Student-t tail thickness | 4.2293 | 0.99 |
Persistence:
0.978
Half-life:
32 days
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