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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 8, 2001 to Jun 19, 2026Model 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
| Parameter | Value | t-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
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