First Trust India Nifty 50 Equ GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
90,822.19%
decreased by 2,422.23%
1 Week
87,627.89%
decreased by 5,616.53%
1 Month
76,607.13%
decreased by 16,637.29%
Analysis last updated: Monday, October 19, 2026 at 09:20 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 2012 to Oct 16, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0019 | 3.19*** |
| αARCH | 0.0795 | 5.13*** |
| βGARCH | 0.9642 | 185.92*** |
| νDF | 2.0000 | 1,934.24*** |
0.964
Persistence19d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0019 | 3.19*** |
α ARCH Response to squared shocks | 0.0795 | 5.13*** |
β GARCH Volatility persistence | 0.9642 | 185.92*** |
ν DF Student-t tail thickness | 2.0000 | 1,934.24*** |
Persistence:
0.964
Half-life:
19 days
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