V-Lab
Shanghai Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
17.73%
decreased by 1.11%
1 Week
17.93%
decreased by 0.91%
1 Month
18.74%
decreased by 0.10%
Analysis last updated: Friday, August 14, 2026 at 08:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Aug 14, 2026Boundary Parameters
Model 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 16.0872 | 5.96*** |
α ARCH Response to squared shocks | 0.0741 | 95.16*** |
β GARCH Volatility persistence | 0.9990 | 6,660.00*** |
ν DF Student-t tail thickness | 4.3395 | 44.44*** |
Persistence:
0.999
Half-life:
693 days
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