V-Lab
REA Group Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
43.98%
increased by 0.54%
1 Week
44.17%
increased by 0.73%
1 Month
44.94%
increased by 1.50%
Analysis last updated: Wednesday, August 5, 2026 at 05:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 1, 1999 to Jul 31, 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 = 4.14 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 | 41.7068 | 6.14*** |
α ARCH Response to squared shocks | 0.0621 | 79.01*** |
β GARCH Volatility persistence | 0.9990 | 7,187.05*** |
ν DF Student-t tail thickness | 4.1395 | 31.72*** |
Persistence:
0.999
Half-life:
693 days
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