Sats As GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
28.64%
increased by 0.47%
1 Week
29.85%
increased by 1.68%
1 Month
33.16%
increased by 4.99%
Analysis last updated: Friday, October 16, 2026 at 08:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 23, 2019 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 14 trading days, meaning a shock loses half its impact after approximately 14 days. Returns follow a Student-t distribution with v = 4.21 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 14-day half-lifev = 4.21 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.3018 | 1.10 |
| αARCH | 0.0900 | 2.67*** |
| βGARCH | 0.9515 | 20.85*** |
| νDF | 4.2136 | 1.05 |
0.952
Persistence14d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.3018 | 1.10 |
α ARCH Response to squared shocks | 0.0900 | 2.67*** |
β GARCH Volatility persistence | 0.9515 | 20.85*** |
ν DF Student-t tail thickness | 4.2136 | 1.05 |
Persistence:
0.952
Half-life:
14 days
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