V-Lab
Taiwan Stock Exchange Weighted Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
42.07%
increased by 1.13%
1 Week
42.03%
increased by 1.09%
1 Month
41.88%
increased by 0.94%
Analysis last updated: Wednesday, August 5, 2026 at 07:26 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 31, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 314 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.71 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 | 4.1075 | 6.66*** |
α ARCH Response to squared shocks | 0.0567 | 73.34*** |
β GARCH Volatility persistence | 0.9978 | 3,576.32*** |
ν DF Student-t tail thickness | 5.7074 | 18.93*** |
Persistence:
0.998
Half-life:
314 days
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