MVB Financial Corp. GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
24.41%
1 Week
25.29%
1 Month
28.51%
Analysis last updated: Friday, October 23, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 20, 2002 to Oct 23, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.63 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 89.6251 | 1.64 |
| αscore | 0.1040 | 14.31*** |
| βpersistence | 0.9990 | 1,583.20*** |
| νDF | 4.6296 | 5.12*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 89.6251 | 1.64 |
α score Weight on the scaled score | 0.1040 | 14.31*** |
β persistence Volatility persistence | 0.9990 | 1,583.20*** |
ν DF Student-t tail thickness | 4.6296 | 5.12*** |
Persistence:
0.999
Half-life:
693 days
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