V-Lab
Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
34.73%
increased by 2.66%
1 Week
34.67%
increased by 2.60%
1 Month
34.45%
increased by 2.38%
Analysis last updated: Friday, August 7, 2026 at 08:02 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Aug 7, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 164 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.78 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 | 2.9626 | 4.80*** |
α ARCH Response to squared shocks | 0.0515 | 48.72*** |
β GARCH Volatility persistence | 0.9958 | 1,305.07*** |
ν DF Student-t tail thickness | 4.7754 | 15.24*** |
Persistence:
0.996
Half-life:
164 days
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