V-Lab
S&P Asia 50 CME GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
32.10%
1 Week
32.14%
1 Month
32.29%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Aug 27, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 628 trading days (~2.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.78 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.3767 | 1.63 |
| αARCH | 0.0594 | 13.44*** |
| βGARCH | 0.9989 | 1,659.30*** |
| νDF | 7.7849 | 1.76* |
0.999
Persistence628d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.3767 | 1.63 |
α ARCH Response to squared shocks | 0.0594 | 13.44*** |
β GARCH Volatility persistence | 0.9989 | 1,659.30*** |
ν DF Student-t tail thickness | 7.7849 | 1.76* |
Persistence:
0.999
Half-life:
628 days
Other GAS-GARCH Student T Analyses on Equity Indices