V-Lab
NSI NV GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
16.89%
1 Week
17.08%
1 Month
17.81%
Analysis last updated: Thursday, October 1, 2026 at 09:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1998 to Sep 25, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 139 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 = 3.54 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7348 | 1.45 |
| αARCH | 0.0785 | 22.29*** |
| βGARCH | 0.9950 | 303.64*** |
| νDF | 3.5413 | 14.87*** |
0.995
Persistence139d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7348 | 1.45 |
α ARCH Response to squared shocks | 0.0785 | 22.29*** |
β GARCH Volatility persistence | 0.9950 | 303.64*** |
ν DF Student-t tail thickness | 3.5413 | 14.87*** |
Persistence:
0.995
Half-life:
139 days
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