V-Lab
Tadawul All Share TASI Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Saturday, September 26th, 2026
1 Day
11.24%
increased by 1.38%
1 Week
11.71%
increased by 1.85%
1 Month
13.28%
increased by 3.42%
Analysis last updated: Friday, September 25, 2026 at 05:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 19, 1998 to Sep 24, 2026Model Insight
Volatility shocks decay with a half-life of 48 trading days, meaning a shock loses half its impact after approximately 48 days. Returns follow a Student-t distribution with v = 4.32 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 48-day half-lifev = 4.32 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.0175 | 1.06 |
| αARCH | 0.1265 | 10.67*** |
| βGARCH | 0.9857 | 75.93*** |
| νDF | 4.3242 | 4.16*** |
0.986
Persistence48d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0175 | 1.06 |
α ARCH Response to squared shocks | 0.1265 | 10.67*** |
β GARCH Volatility persistence | 0.9857 | 75.93*** |
ν DF Student-t tail thickness | 4.3242 | 4.16*** |
Persistence:
0.986
Half-life:
48 days
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