Petrolia Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
89.21%
increased by 5.25%
1 Week
90.35%
increased by 6.39%
1 Month
94.55%
increased by 10.59%
Analysis last updated: Tuesday, July 14, 2026 at 07:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 11, 1999 to Jul 10, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 94 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 = 2.27 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 | 87.1983 | 7.68*** |
α ARCH Response to squared shocks | 0.0514 | 72.45*** |
β GARCH Volatility persistence | 0.9927 | 1,239.28*** |
ν DF Student-t tail thickness | 2.2684 | 280.57*** |
Persistence:
0.993
Half-life:
94 days
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