REA Group Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
34.96%
1 Week
35.20%
1 Month
36.13%
Analysis last updated: Thursday, October 29, 2026 at 08:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 1, 1999 to Oct 23, 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 = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 38.2816 | 1.36 |
| αscore | 0.0679 | 16.51*** |
| βpersistence | 0.9990 | 1,525.19*** |
| νDF | 5.4228 | 4.89*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 38.2816 | 1.36 |
α score Weight on the scaled score | 0.0679 | 16.51*** |
β persistence Volatility persistence | 0.9990 | 1,525.19*** |
ν DF Student-t tail thickness | 5.4228 | 4.89*** |
Persistence:
0.999
Half-life:
693 days
Other REA Group Ltd Analyses
Other GAS-GARCH Student T Analyses on International Equities