V-Lab
Seshasayee Paper&B GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
43.79%
increased by 5.37%
1 Week
44.24%
increased by 5.82%
1 Month
45.82%
increased by 7.40%
Analysis last updated: Friday, July 24, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 26, 1995 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 3.83 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 | 12.2842 | 4.84*** |
α ARCH Response to squared shocks | 0.0830 | 33.84*** |
β GARCH Volatility persistence | 0.9829 | 268.76*** |
ν DF Student-t tail thickness | 3.8326 | 15.99*** |
Persistence:
0.983
Half-life:
40 days
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