V-Lab
Spenda Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
28,355.35%
increased by 3,083.37%
1 Week
28,327.01%
increased by 3,055.03%
1 Month
28,214.11%
increased by 2,942.13%
Analysis last updated: Wednesday, September 16, 2026 at 03:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Sep 14, 2026Illiquid Asset
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.
𝑓
GAS-GARCH-T Model
Tap to view equation
Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.3678 | 3.62*** |
| αARCH | 0.1129 | 165.77*** |
| βGARCH | 0.9990 | 3,542.55*** |
| νDF | 2.0001 |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.3678 | 3.62*** |
α ARCH Response to squared shocks | 0.1129 | 165.77*** |
β GARCH Volatility persistence | 0.9990 | 3,542.55*** |
ν DF Student-t tail thickness | 2.0001 |
Persistence:
0.999
Half-life:
693 days
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