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Dow Jones Transportation Average GAS-GARCH Student T Volatility Analysis

Volatility prediction for Wednesday, August 26th, 2026

1 Day

17.00%

decreased by 0.78%

1 Week

17.20%

decreased by 0.58%

1 Month

17.88%

increased by 0.10%

Analysis last updated: Wednesday, August 26, 2026 at 12:04 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of Dow Jones Transportation Average GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 21, 2026

Model Insight

Volatility shocks decay with a half-life of 41 trading days, meaning a shock loses half its impact after approximately 41 days. Returns follow a Student-t distribution with v = 7.89 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.9560
9.85***
α

ARCH

Response to squared shocks

0.0701
30.36***
β

GARCH

Volatility persistence

0.9834
540.62***
ν

DF

Student-t tail thickness

7.8891
4.85***

Persistence:

0.983

Half-life:

41 days