Sats As GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
29.15%
decreased by 0.33%
1 Week
30.44%
increased by 0.96%
1 Month
33.83%
increased by 4.35%
Analysis last updated: Tuesday, July 14, 2026 at 07:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 23, 2019 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 12 trading days, meaning a shock loses half its impact after approximately 12 days. Returns follow a Student-t distribution with v = 4.38 degrees of freedom, capturing fatter tails than a normal distribution.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.3453 | 4.88*** |
α ARCH Response to squared shocks | 0.0932 | 10.36*** |
β GARCH Volatility persistence | 0.9459 | 83.08*** |
ν DF Student-t tail thickness | 4.3794 | 3.89*** |
Persistence:
0.946
Half-life:
12 days
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