Stock Exchange of Thailand SET 50 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
17.59%
increased by 1.57%
1 Week
17.68%
increased by 1.66%
1 Month
18.03%
increased by 2.01%
Analysis last updated: Friday, July 10, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 16, 1995 to Apr 30, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 242 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 = 5.45 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 | 3.4282 | 5.58*** |
α ARCH Response to squared shocks | 0.0698 | 79.67*** |
β GARCH Volatility persistence | 0.9971 | 2,196.35*** |
ν DF Student-t tail thickness | 5.4490 | 19.36*** |
Persistence:
0.997
Half-life:
242 days
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