V-Lab
MSCI NUAM Peru General Index Gross GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
18.89%
increased by 4.33%
1 Week
19.15%
increased by 4.59%
1 Month
20.06%
increased by 5.50%
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
Jan 1, 1990 to Sep 10, 2026Model Insight
Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days. Returns follow a Student-t distribution with v = 5.88 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 38-day half-lifev = 5.88 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5356 | 1.97** |
| αARCH | 0.1367 | 11.16*** |
| βGARCH | 0.9819 | 108.92*** |
| νDF | 5.8782 | 3.39*** |
0.982
Persistence38d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5356 | 1.97** |
α ARCH Response to squared shocks | 0.1367 | 11.16*** |
β GARCH Volatility persistence | 0.9819 | 108.92*** |
ν DF Student-t tail thickness | 5.8782 | 3.39*** |
Persistence:
0.982
Half-life:
38 days
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