V-Lab
Range International Limited GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
84.90%
1 Week
84.82%
1 Month
84.48%
Analysis last updated: Wednesday, September 16, 2026 at 03:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 22, 2016 to Sep 14, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.32 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | |
| αARCH | 0.1547 | 93.05*** |
| βGARCH | 0.9990 | 3,798.48*** |
| νDF | 5.3170 | 53.71*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | |
α ARCH Response to squared shocks | 0.1547 | 93.05*** |
β GARCH Volatility persistence | 0.9990 | 3,798.48*** |
ν DF Student-t tail thickness | 5.3170 | 53.71*** |
Persistence:
0.999
Half-life:
693 days
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