V-Lab
Stock Exchange of Thailand SET Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
13.56%
1 Week
13.71%
1 Month
14.28%
Analysis last updated: Friday, September 25, 2026 at 05:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 250 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.35 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.6477 | 1.50 |
| αARCH | 0.0709 | 21.39*** |
| βGARCH | 0.9972 | 632.36*** |
| νDF | 5.3481 | 5.10*** |
0.997
Persistence250d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6477 | 1.50 |
α ARCH Response to squared shocks | 0.0709 | 21.39*** |
β GARCH Volatility persistence | 0.9972 | 632.36*** |
ν DF Student-t tail thickness | 5.3481 | 5.10*** |
Persistence:
0.997
Half-life:
250 days
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