V-Lab
Sam Holdings Corporation GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
18.77%
1 Week
20.06%
1 Month
24.39%
Analysis last updated: Friday, September 11, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 2007 to Sep 4, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 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 = 4.29 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 20.2213 | 1.27 |
| αARCH | 0.1374 | 21.52*** |
| βGARCH | 0.9947 | 241.97*** |
| νDF | 4.2872 | 11.39*** |
0.995
Persistence131d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 20.2213 | 1.27 |
α ARCH Response to squared shocks | 0.1374 | 21.52*** |
β GARCH Volatility persistence | 0.9947 | 241.97*** |
ν DF Student-t tail thickness | 4.2872 | 11.39*** |
Persistence:
0.995
Half-life:
131 days
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