V-Lab
MSCI NUAM Peru General Index Gross GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
17.12%
decreased by 1.87%
1 Week
17.47%
decreased by 1.52%
1 Month
18.68%
decreased by 0.31%
Analysis last updated: Friday, October 2, 2026 at 09:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 24, 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 = 5.89 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 38-day half-lifev = 5.89 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5380 | 1.97** |
| αARCH | 0.1366 | 11.16*** |
| βGARCH | 0.9820 | 109.22*** |
| νDF | 5.8870 | 3.38*** |
0.982
Persistence38d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5380 | 1.97** |
α ARCH Response to squared shocks | 0.1366 | 11.16*** |
β GARCH Volatility persistence | 0.9820 | 109.22*** |
ν DF Student-t tail thickness | 5.8870 | 3.38*** |
Persistence:
0.982
Half-life:
38 days
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