V-Lab
Public Storage GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
21.11%
decreased by 0.78%
1 Week
21.21%
decreased by 0.68%
1 Month
21.58%
decreased by 0.31%
Analysis last updated: Thursday, October 1, 2026 at 11:15 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 Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 52 trading days, meaning a shock loses half its impact after approximately 52 days. Returns follow a Student-t distribution with v = 5.95 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 52-day half-lifev = 5.95 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.4329 | 1.64 |
| αARCH | 0.0581 | 7.67*** |
| βGARCH | 0.9868 | 112.16*** |
| νDF | 5.9501 | 1.62 |
0.987
Persistence52d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4329 | 1.64 |
α ARCH Response to squared shocks | 0.0581 | 7.67*** |
β GARCH Volatility persistence | 0.9868 | 112.16*** |
ν DF Student-t tail thickness | 5.9501 | 1.62 |
Persistence:
0.987
Half-life:
52 days
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