MSCI Europe GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
13.04%
1 Week
13.24%
1 Month
13.99%
Analysis last updated: Friday, October 23, 2026 at 09:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1998 to Oct 22, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.67 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.0028 | 1.36 |
| αscore | 0.1064 | 10.34*** |
| βpersistence | 0.9916 | 154.43*** |
| νDF | 7.6677 | 2.03** |
0.992
Persistence82d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.0028 | 1.36 |
α score Weight on the scaled score | 0.1064 | 10.34*** |
β persistence Volatility persistence | 0.9916 | 154.43*** |
ν DF Student-t tail thickness | 7.6677 | 2.03** |
Persistence:
0.992
Half-life:
82 days
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