V-Lab
Paysafe Group Ltd GAS-GARCH Student T Volatility Analysis
Inactive
Last recorded values (Thursday, December 21st, 2017):
1 Day
4.60%
1 Week
4.76%
1 Month
5.34%
Analysis last updated: Thursday, March 26, 2026 at 07:29 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 13, 2004 to Dec 15, 2017Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.76 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 | 3.0239 | 9.01*** |
α ARCH Response to squared shocks | 0.0737 | 88.16*** |
β GARCH Volatility persistence | 0.9990 | 7,511.28*** |
ν DF Student-t tail thickness | 2.7648 | 567.72*** |
Persistence:
0.999
Half-life:
693 days
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