V-Lab
Netflix Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
43.89%
increased by 1.94%
1 Week
44.13%
increased by 2.18%
1 Month
45.04%
increased by 3.09%
Analysis last updated: Tuesday, August 25, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 24, 2002 to Aug 21, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 113 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 = 3.25 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 | 14.5398 | 3.47*** |
α ARCH Response to squared shocks | 0.0473 | 56.12*** |
β GARCH Volatility persistence | 0.9939 | 604.19*** |
ν DF Student-t tail thickness | 3.2465 | 27.42*** |
Persistence:
0.994
Half-life:
113 days
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