Shanghai Shenzhen CSI 300 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
17.34%
1 Week
17.44%
1 Month
17.85%
Analysis last updated: Friday, October 16, 2026 at 08:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Oct 16, 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 = 4.79 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8072 | 1.15 |
| αARCH | 0.0519 | 11.81*** |
| βGARCH | 0.9954 | 280.63*** |
| νDF | 4.7862 | 3.55*** |
0.995
Persistence151d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8072 | 1.15 |
α ARCH Response to squared shocks | 0.0519 | 11.81*** |
β GARCH Volatility persistence | 0.9954 | 280.63*** |
ν DF Student-t tail thickness | 4.7862 | 3.55*** |
Persistence:
0.995
Half-life:
151 days
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