V-Lab
PMV Pharmaceuticals Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
79.83%
increased by 13.70%
1 Week
79.74%
increased by 13.61%
1 Month
79.55%
increased by 13.42%
Analysis last updated: Friday, July 24, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 25, 2020 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 3.63 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 | 24.9513 | 4.12*** |
α ARCH Response to squared shocks | 0.1189 | 9.05*** |
β GARCH Volatility persistence | 0.9166 | 42.27*** |
ν DF Student-t tail thickness | 3.6316 | 4.85*** |
Persistence:
0.917
Half-life:
8 days
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