V-Lab
Stewart Information Services Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
42.76%
increased by 4.53%
1 Week
42.79%
increased by 4.56%
1 Month
42.90%
increased by 4.67%
Analysis last updated: Friday, July 24, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 186 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.38 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 | 8.5236 | 5.82*** |
α ARCH Response to squared shocks | 0.0624 | 79.05*** |
β GARCH Volatility persistence | 0.9963 | 1,720.70*** |
ν DF Student-t tail thickness | 4.3817 | 31.73*** |
Persistence:
0.996
Half-life:
186 days
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