V-Lab
S&P BSE SENSEX Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
11.32%
decreased by 0.51%
1 Week
11.60%
decreased by 0.23%
1 Month
12.59%
increased by 0.76%
Analysis last updated: Friday, August 14, 2026 at 12:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 148 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.51 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 | 3.1644 | 7.15*** |
α ARCH Response to squared shocks | 0.0743 | 57.97*** |
β GARCH Volatility persistence | 0.9953 | 1,734.04*** |
ν DF Student-t tail thickness | 6.5108 | 13.84*** |
Persistence:
0.995
Half-life:
148 days
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