V-Lab
Procter & Gamble Co/The GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
18.92%
decreased by 0.44%
1 Week
18.98%
decreased by 0.38%
1 Month
19.21%
decreased by 0.15%
Analysis last updated: Friday, October 2, 2026 at 11:58 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 92 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.38 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.993, shock half-life ~92 daysv = 5.38 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.0266 | 1.05 |
| αARCH | 0.0629 | 9.25*** |
| βGARCH | 0.9925 | 134.29*** |
| νDF | 5.3773 | 2.49** |
0.993
Persistence92d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0266 | 1.05 |
α ARCH Response to squared shocks | 0.0629 | 9.25*** |
β GARCH Volatility persistence | 0.9925 | 134.29*** |
ν DF Student-t tail thickness | 5.3773 | 2.49** |
Persistence:
0.993
Half-life:
92 days
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