V-Lab
Stock Exchange of Thailand SET Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
11.93%
decreased by 0.38%
1 Week
12.10%
decreased by 0.21%
1 Month
12.78%
increased by 0.47%
Analysis last updated: Saturday, August 15, 2026 at 05:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 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 = 5.33 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 | 3.6575 | 6.03*** |
α ARCH Response to squared shocks | 0.0709 | 85.90*** |
β GARCH Volatility persistence | 0.9972 | 2,550.49*** |
ν DF Student-t tail thickness | 5.3298 | 20.70*** |
Persistence:
0.997
Half-life:
251 days
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