S&P BSE SENSEX Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 27th, 2026
1 Day
15.98%
1 Week
16.16%
1 Month
16.83%
Analysis last updated: Monday, October 26, 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 Oct 23, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 152 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 = 7.94 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.5212 | 1.58 |
| αscore | 0.0864 | 14.54*** |
| βpersistence | 0.9955 | 372.97*** |
| νDF | 7.9358 | 2.31** |
0.995
Persistence152d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.5212 | 1.58 |
α score Weight on the scaled score | 0.0864 | 14.54*** |
β persistence Volatility persistence | 0.9955 | 372.97*** |
ν DF Student-t tail thickness | 7.9358 | 2.31** |
Persistence:
0.995
Half-life:
152 days
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