V-Lab
Shanghai Stock Exchange A Share Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
18.29%
decreased by 0.43%
1 Week
18.50%
decreased by 0.22%
1 Month
19.29%
increased by 0.57%
Analysis last updated: Monday, August 24, 2026 at 08:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Aug 21, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.14 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 | 16.2565 | 6.11*** |
α ARCH Response to squared shocks | 0.0724 | 97.27*** |
β GARCH Volatility persistence | 0.9990 | 6,795.92*** |
ν DF Student-t tail thickness | 4.1370 | 51.94*** |
Persistence:
0.999
Half-life:
693 days
Other GAS-GARCH Student T Analyses on Equity Indices