V-Lab
MVB Financial Corp. GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
35.62%
increased by 2.97%
1 Week
36.30%
increased by 3.65%
1 Month
38.85%
increased by 6.20%
Analysis last updated: Friday, October 2, 2026 at 10:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 20, 2002 to Oct 2, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 300 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.73 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.998, shock half-life ~300 daysv = 3.73 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 46.9770 | 2.05** |
| αARCH | 0.1022 | 17.38*** |
| βGARCH | 0.9977 | 844.78*** |
| νDF | 3.7348 | 10.04*** |
0.998
Persistence300d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 46.9770 | 2.05** |
α ARCH Response to squared shocks | 0.1022 | 17.38*** |
β GARCH Volatility persistence | 0.9977 | 844.78*** |
ν DF Student-t tail thickness | 3.7348 | 10.04*** |
Persistence:
0.998
Half-life:
300 days
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