V-Lab
Petrolia Se GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
79.51%
increased by 0.45%
1 Week
80.85%
increased by 1.79%
1 Month
85.78%
increased by 6.72%
Analysis last updated: Wednesday, August 5, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 11, 1999 to Jul 31, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 95 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 = 2.28 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 | 84.1818 | 7.70*** |
α ARCH Response to squared shocks | 0.0513 | 72.47*** |
β GARCH Volatility persistence | 0.9927 | 1,251.84*** |
ν DF Student-t tail thickness | 2.2802 | 269.75*** |
Persistence:
0.993
Half-life:
95 days
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