Nikkei 225 GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
32.38%
increased by 2.35%
1 Week
32.13%
increased by 2.10%
1 Month
31.23%
increased by 1.20%
Analysis last updated: Thursday, July 16, 2026 at 07:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 7.59 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 | 2.2700 | 10.96*** |
α ARCH Response to squared shocks | 0.0833 | 39.90*** |
β GARCH Volatility persistence | 0.9830 | 560.43*** |
ν DF Student-t tail thickness | 7.5918 | 6.88*** |
Persistence:
0.983
Half-life:
40 days
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