V-Lab
Nodestream Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
144.62%
decreased by 17.09%
1 Week
142.64%
decreased by 19.07%
1 Month
138.13%
decreased by 23.58%
Analysis last updated: Wednesday, August 26, 2026 at 07:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2016 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 2.91 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 | 70.0747 | 4.96*** |
α ARCH Response to squared shocks | 0.0832 | 8.51*** |
β GARCH Volatility persistence | 0.9040 | 41.92*** |
ν DF Student-t tail thickness | 2.9101 | 6.49*** |
Persistence:
0.904
Half-life:
7 days
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