V-Lab
National Stock Exchange CNX Nifty Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
13.22%
1 Week
13.46%
1 Month
14.37%
Analysis last updated: Monday, October 5, 2026 at 12:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 2, 1990 to Oct 1, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 617 trading days (~2.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.58 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 11.9919 | 1.59 |
| αARCH | 0.0866 | 19.86*** |
| βGARCH | 0.9989 | 1,305.72*** |
| νDF | 7.5803 | 3.28*** |
0.999
Persistence617d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 11.9919 | 1.59 |
α ARCH Response to squared shocks | 0.0866 | 19.86*** |
β GARCH Volatility persistence | 0.9989 | 1,305.72*** |
ν DF Student-t tail thickness | 7.5803 | 3.28*** |
Persistence:
0.999
Half-life:
617 days
Other National Stock Exchange CNX Nifty Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices