V-Lab
Seatrium Limited GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.35%
increased by 0.52%
1 Week
29.63%
increased by 0.80%
1 Month
30.70%
increased by 1.87%
Analysis last updated: Sunday, August 23, 2026 at 12:28 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 1990 to Aug 21, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 129 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.81 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 | 9.6431 | 4.82*** |
α ARCH Response to squared shocks | 0.0742 | 82.16*** |
β GARCH Volatility persistence | 0.9947 | 939.24*** |
ν DF Student-t tail thickness | 3.8123 | 37.59*** |
Persistence:
0.995
Half-life:
129 days
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