Stock Exchange of Thailand SET Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
11.30%
1 Week
11.49%
1 Month
12.21%
Analysis last updated: Thursday, October 15, 2026 at 05:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 12, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 251 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 = 5.34 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.6312 | 1.50 |
| αARCH | 0.0706 | 21.45*** |
| βGARCH | 0.9972 | 636.40*** |
| νDF | 5.3365 | 5.15*** |
0.997
Persistence251d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.6312 | 1.50 |
α ARCH Response to squared shocks | 0.0706 | 21.45*** |
β GARCH Volatility persistence | 0.9972 | 636.40*** |
ν DF Student-t tail thickness | 5.3365 | 5.15*** |
Persistence:
0.997
Half-life:
251 days
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