V-Lab
Pineapple Financial Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
65.94%
decreased by 3.67%
1 Week
84.83%
increased by 15.22%
1 Month
132.72%
increased by 63.11%
Analysis last updated: Saturday, September 12, 2026 at 12:45 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2023 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 51 trading days, meaning a shock loses half its impact after approximately 51 days. Returns follow a Student-t distribution with v = 2.71 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 51-day half-lifev = 2.71 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 440.4428 | 1.16 |
| αARCH | 0.1990 | 13.31*** |
| βGARCH | 0.9865 | 98.63*** |
| νDF | 2.7148 | 13.35*** |
0.986
Persistence51d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 440.4428 | 1.16 |
α ARCH Response to squared shocks | 0.1990 | 13.31*** |
β GARCH Volatility persistence | 0.9865 | 98.63*** |
ν DF Student-t tail thickness | 2.7148 | 13.35*** |
Persistence:
0.986
Half-life:
51 days
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