V-Lab
Sofina SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
354.57%
increased by 11.29%
1 Week
354.33%
increased by 11.05%
1 Month
353.40%
increased by 10.12%
Analysis last updated: Saturday, July 25, 2026 at 10:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 12, 2018 to Jul 24, 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 | 168.6617 | 12.07*** |
α ARCH Response to squared shocks | 0.0935 | 117.75*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 2.0024 |
Persistence:
0.999
Half-life:
693 days
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