Blue Owl Capital Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
20.18%
increased by 4.33%
1 Week
20.42%
increased by 4.57%
1 Month
21.11%
increased by 5.26%
Analysis last updated: Friday, July 10, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2019 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. Returns follow a Student-t distribution with v = 5.50 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 | 2.0119 | 6.53*** |
α ARCH Response to squared shocks | 0.1460 | 15.35*** |
β GARCH Volatility persistence | 0.9477 | 119.90*** |
ν DF Student-t tail thickness | 5.5039 | 4.87*** |
Persistence:
0.948
Half-life:
13 days
Other Blue Owl Capital Corp Analyses
Other GAS-GARCH Student T Analyses on Equities