V-Lab
Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
17.14%
1 Week
17.25%
1 Month
17.67%
Analysis last updated: Friday, September 25, 2026 at 05:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Sep 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 151 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.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8127 | 1.15 |
| αARCH | 0.0520 | 11.81*** |
| βGARCH | 0.9954 | 280.40*** |
| νDF | 4.7849 | 3.56*** |
0.995
Persistence151d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8127 | 1.15 |
α ARCH Response to squared shocks | 0.0520 | 11.81*** |
β GARCH Volatility persistence | 0.9954 | 280.40*** |
ν DF Student-t tail thickness | 4.7849 | 3.56*** |
Persistence:
0.995
Half-life:
151 days
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