V-Lab
MSCI Europe GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
10.94%
1 Week
11.23%
1 Month
12.27%
Analysis last updated: Saturday, September 12, 2026 at 12:51 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1998 to Sep 10, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 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 = 7.20 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9180 | 1.42 |
| αARCH | 0.1057 | 10.45*** |
| βGARCH | 0.9910 | 152.42*** |
| νDF | 7.1967 | 2.25** |
0.991
Persistence77d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9180 | 1.42 |
α ARCH Response to squared shocks | 0.1057 | 10.45*** |
β GARCH Volatility persistence | 0.9910 | 152.42*** |
ν DF Student-t tail thickness | 7.1967 | 2.25** |
Persistence:
0.991
Half-life:
77 days
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