V-Lab
Sofina SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
405.26%
decreased by 31.12%
1 Week
405.05%
decreased by 31.33%
1 Month
404.22%
decreased by 32.16%
Analysis last updated: Saturday, August 15, 2026 at 06:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 12, 2018 to Aug 14, 2026Extended Optimization
Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 313.4024 | 12.10*** |
α ARCH Response to squared shocks | 0.0931 | 117.54*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 2.0013 |
Persistence:
0.999
Half-life:
693 days
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