Skip to main content
V-Lab

SDI Ltd GAS-GARCH Student T Volatility Analysis

Inactive

Last recorded values (Friday, June 26th, 2026):

1 Day

26.96%

1 Week

30.85%

1 Month

41.68%

Analysis last updated: Friday, June 26, 2026 at 06:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of SDI Ltd GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 8, 2001 to Jun 19, 2026

Model Insight

Volatility shocks decay with a half-life of 34 trading days, meaning a shock loses half its impact after approximately 34 days. Returns follow a Student-t distribution with v = 2.50 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

25.2212
3.59***
α

ARCH

Response to squared shocks

0.0924
41.08***
β

GARCH

Volatility persistence

0.9797
181.59***
ν

DF

Student-t tail thickness

2.4961
46.86***

Persistence:

0.980

Half-life:

34 days