Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
19.70%
1 Week
19.78%
1 Month
20.07%
Analysis last updated: Thursday, November 5, 2026 at 09:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Oct 30, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 182 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.44 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.1077 | 1.24 |
| αscore | 0.0553 | 12.36*** |
| βpersistence | 0.9962 | 370.75*** |
| νDF | 5.4434 | 3.16*** |
0.996
Persistence182d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.1077 | 1.24 |
α score Weight on the scaled score | 0.0553 | 12.36*** |
β persistence Volatility persistence | 0.9962 | 370.75*** |
ν DF Student-t tail thickness | 5.4434 | 3.16*** |
Persistence:
0.996
Half-life:
182 days
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