Shanghai Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
15.43%
1 Week
15.68%
1 Month
16.61%
Analysis last updated: Friday, October 16, 2026 at 08:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Oct 16, 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 = 4.34 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.9873 | 1.49 |
| αARCH | 0.0741 | 23.84*** |
| βGARCH | 0.9990 | 1,656.72*** |
| νDF | 4.3422 | 11.08*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.9873 | 1.49 |
α ARCH Response to squared shocks | 0.0741 | 23.84*** |
β GARCH Volatility persistence | 0.9990 | 1,656.72*** |
ν DF Student-t tail thickness | 4.3422 | 11.08*** |
Persistence:
0.999
Half-life:
693 days
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