First Trust India Nifty 50 Equ GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
6,509.84%
decreased by 473.49%
1 Week
6,503.33%
decreased by 480.00%
1 Month
6,477.42%
decreased by 505.91%
Analysis last updated: Tuesday, July 21, 2026 at 09:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 2012 to Jul 17, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0130 | 3.07*** |
α ARCH Response to squared shocks | 0.0608 | 23.47*** |
β GARCH Volatility persistence | 0.9990 | 3,432.99*** |
ν DF Student-t tail thickness | 2.0000 |
Persistence:
0.999
Half-life:
693 days
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