V-Lab
Taiwan Stock Exchange Weighted Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 30th, 2026
1 Day
20.48%
1 Week
20.55%
1 Month
20.80%
Analysis last updated: Tuesday, September 29, 2026 at 07:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 282 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.69 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.8160 | 1.57 |
| αARCH | 0.0570 | 18.12*** |
| βGARCH | 0.9975 | 746.67*** |
| νDF | 5.6875 | 4.57*** |
0.998
Persistence282d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8160 | 1.57 |
α ARCH Response to squared shocks | 0.0570 | 18.12*** |
β GARCH Volatility persistence | 0.9975 | 746.67*** |
ν DF Student-t tail thickness | 5.6875 | 4.57*** |
Persistence:
0.998
Half-life:
282 days
Other Taiwan Stock Exchange Weighted Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices