V-Lab
Shenzhen Stock Exchange Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
19.88%
decreased by 1.47%
1 Week
20.42%
decreased by 0.93%
1 Month
22.24%
increased by 0.89%
Analysis last updated: Friday, September 18, 2026 at 10:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1991 to Sep 10, 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 = 4.79 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 40-day half-lifev = 4.79 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.1144 | 1.52 |
| αARCH | 0.0998 | 9.56*** |
| βGARCH | 0.9828 | 86.40*** |
| νDF | 4.7880 | 3.32*** |
0.983
Persistence40d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1144 | 1.52 |
α ARCH Response to squared shocks | 0.0998 | 9.56*** |
β GARCH Volatility persistence | 0.9828 | 86.40*** |
ν DF Student-t tail thickness | 4.7880 | 3.32*** |
Persistence:
0.983
Half-life:
40 days
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