V-Lab
Tokyo Stock Exchange REIT Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
9.35%
decreased by 0.90%
1 Week
9.78%
decreased by 0.47%
1 Month
11.23%
increased by 0.98%
Analysis last updated: Friday, September 18, 2026 at 10:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2003 to Sep 10, 2026Model Insight
Volatility shocks decay with a half-life of 54 trading days, meaning a shock loses half its impact after approximately 54 days. Returns follow a Student-t distribution with v = 5.96 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
Shock decay: Shocks decay with a 54-day half-lifev = 5.96 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6413 | 1.63 |
| αARCH | 0.1364 | 11.20*** |
| βGARCH | 0.9872 | 133.19*** |
| νDF | 5.9627 | 3.12*** |
0.987
Persistence54d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6413 | 1.63 |
α ARCH Response to squared shocks | 0.1364 | 11.20*** |
β GARCH Volatility persistence | 0.9872 | 133.19*** |
ν DF Student-t tail thickness | 5.9627 | 3.12*** |
Persistence:
0.987
Half-life:
54 days
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