MSCI Europe GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
15.20%
increased by 0.02%
1 Week
15.36%
increased by 0.18%
1 Month
15.97%
increased by 0.79%
Analysis last updated: Friday, July 10, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1998 to Apr 4, 2025Model Insight
With persistence 0.994, volatility shocks have a half-life of 109 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.27 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4990 | 5.02*** |
α ARCH Response to squared shocks | 0.1043 | 48.19*** |
β GARCH Volatility persistence | 0.9937 | 764.96*** |
ν DF Student-t tail thickness | 7.2692 | 10.00*** |
Persistence:
0.994
Half-life:
109 days
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