Nodestream Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
261.01%
1 Week
260.11%
1 Month
256.59%
Analysis last updated: Thursday, October 29, 2026 at 08:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2016 to Oct 23, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 155 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.34 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 107.0997 | 1.24 |
| αscore | 0.0610 | 3.69*** |
| βpersistence | 0.9955 | 313.75*** |
| νDF | 10.3352 | 0.60 |
0.996
Persistence155d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 107.0997 | 1.24 |
α score Weight on the scaled score | 0.0610 | 3.69*** |
β persistence Volatility persistence | 0.9955 | 313.75*** |
ν DF Student-t tail thickness | 10.3352 | 0.60 |
Persistence:
0.996
Half-life:
155 days
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