Petrolia Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
47.16%
1 Week
48.09%
1 Month
51.50%
Analysis last updated: Thursday, October 29, 2026 at 11:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 11, 1999 to Oct 23, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 115 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.26 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 45.1358 | 1.48 |
| αscore | 0.0973 | 13.48*** |
| βpersistence | 0.9940 | 280.55*** |
| νDF | 5.2640 | 4.34*** |
0.994
Persistence115d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 45.1358 | 1.48 |
α score Weight on the scaled score | 0.0973 | 13.48*** |
β persistence Volatility persistence | 0.9940 | 280.55*** |
ν DF Student-t tail thickness | 5.2640 | 4.34*** |
Persistence:
0.994
Half-life:
115 days
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