V-Lab
National Stock Exchange CNX Nifty Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
11.29%
1 Week
11.57%
1 Month
12.62%
Analysis last updated: Tuesday, September 15, 2026 at 03:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 637 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 = 7.59 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 12.1947 | 1.59 |
| αARCH | 0.0865 | 19.85*** |
| βGARCH | 0.9989 | 1,346.24*** |
| νDF | 7.5889 | 3.28*** |
0.999
Persistence637d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 12.1947 | 1.59 |
α ARCH Response to squared shocks | 0.0865 | 19.85*** |
β GARCH Volatility persistence | 0.9989 | 1,346.24*** |
ν DF Student-t tail thickness | 7.5889 | 3.28*** |
Persistence:
0.999
Half-life:
637 days
Other National Stock Exchange CNX Nifty Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices