V-Lab
Securitize Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
102.21%
decreased by 14.12%
1 Week
100.57%
decreased by 15.76%
1 Month
94.59%
decreased by 21.74%
Analysis last updated: Saturday, September 12, 2026 at 12:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 2, 2025 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 3.38 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 33-day half-lifev = 3.38 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.8732 | 1.22 |
| αARCH | 0.1940 | 7.49*** |
| βGARCH | 0.9793 | 61.34*** |
| νDF | 3.3783 | 5.62*** |
0.979
Persistence33d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.8732 | 1.22 |
α ARCH Response to squared shocks | 0.1940 | 7.49*** |
β GARCH Volatility persistence | 0.9793 | 61.34*** |
ν DF Student-t tail thickness | 3.3783 | 5.62*** |
Persistence:
0.979
Half-life:
33 days
Other Securitize Corp Analyses
Other GAS-GARCH Student T Analyses on Equities