V-Lab
Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
33.58%
increased by 1.53%
1 Week
33.53%
increased by 1.48%
1 Month
33.34%
increased by 1.29%
Analysis last updated: Friday, July 24, 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 Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 163 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 | 2.9503 | 4.79*** |
α ARCH Response to squared shocks | 0.0514 | 48.62*** |
β GARCH Volatility persistence | 0.9958 | 1,298.26*** |
ν DF Student-t tail thickness | 4.7777 | 15.17*** |
Persistence:
0.996
Half-life:
163 days
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