V-Lab
Seshasayee Paper&B GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
30.50%
decreased by 1.86%
1 Week
31.66%
decreased by 0.70%
1 Month
35.51%
increased by 3.15%
Analysis last updated: Wednesday, August 26, 2026 at 08:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 26, 1995 to Aug 21, 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 = 3.84 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 | 12.2034 | 4.88*** |
α ARCH Response to squared shocks | 0.0829 | 33.87*** |
β GARCH Volatility persistence | 0.9828 | 270.45*** |
ν DF Student-t tail thickness | 3.8434 | 15.95*** |
Persistence:
0.983
Half-life:
40 days
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