V-Lab
Prosus Nv GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
38.19%
decreased by 1.53%
1 Week
38.23%
decreased by 1.49%
1 Month
38.36%
decreased by 1.36%
Analysis last updated: Wednesday, August 26, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 11, 2019 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 4.42 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 | 6.0661 | 2.82*** |
α ARCH Response to squared shocks | 0.0545 | 11.23*** |
β GARCH Volatility persistence | 0.9795 | 131.20*** |
ν DF Student-t tail thickness | 4.4155 | 3.26*** |
Persistence:
0.980
Half-life:
33 days
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