V-Lab
Next PLC GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
20.85%
decreased by 0.91%
1 Week
21.06%
decreased by 0.70%
1 Month
21.83%
increased by 0.07%
Analysis last updated: Tuesday, August 25, 2026 at 08:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.15 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 | 4.8097 | 4.44*** |
α ARCH Response to squared shocks | 0.0528 | 56.99*** |
β GARCH Volatility persistence | 0.9945 | 835.68*** |
ν DF Student-t tail thickness | 4.1537 | 20.49*** |
Persistence:
0.994
Half-life:
125 days
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