Shanghai Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
20.21%
1 Week
20.38%
1 Month
21.05%
Analysis last updated: Thursday, November 5, 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 Oct 30, 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 = 4.50 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 15.3514 | 1.45 |
| αscore | 0.0742 | 24.01*** |
| βpersistence | 0.9990 | 1,613.89*** |
| νDF | 4.4961 | 9.86*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 15.3514 | 1.45 |
α score Weight on the scaled score | 0.0742 | 24.01*** |
β persistence Volatility persistence | 0.9990 | 1,613.89*** |
ν DF Student-t tail thickness | 4.4961 | 9.86*** |
Persistence:
0.999
Half-life:
693 days
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