V-Lab
Spenda Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
16,255.15%
increased by 2,730.23%
1 Week
16,238.90%
increased by 2,713.98%
1 Month
16,174.19%
increased by 2,649.27%
Analysis last updated: Wednesday, October 7, 2026 at 06:07 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Oct 2, 2026Model 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 | 8.1799 | 3.62*** |
| αARCH | 0.1129 | 165.84*** |
| 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 | 8.1799 | 3.62*** |
α ARCH Response to squared shocks | 0.1129 | 165.84*** |
β GARCH Volatility persistence | 0.9990 | 3,542.55*** |
ν DF Student-t tail thickness | 2.0001 |
Persistence:
0.999
Half-life:
693 days
Other GAS-GARCH Student T Analyses on International Equities