V-Lab
AT&T Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
35.71%
increased by 4.91%
1 Week
35.59%
increased by 4.79%
1 Month
35.10%
increased by 4.30%
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 0.991, volatility shocks have a half-life of 80 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.72 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 | 2.9515 | 4.36*** |
α ARCH Response to squared shocks | 0.0691 | 34.08*** |
β GARCH Volatility persistence | 0.9914 | 502.99*** |
ν DF Student-t tail thickness | 5.7244 | 8.46*** |
Persistence:
0.991
Half-life:
80 days
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