Taiwan Stock Exchange Weighted Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
22.61%
1 Week
22.65%
1 Month
22.84%
Analysis last updated: Thursday, October 22, 2026 at 07:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 16, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 283 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 = 5.67 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.8149 | 1.57 |
| αscore | 0.0569 | 18.19*** |
| βpersistence | 0.9976 | 748.35*** |
| νDF | 5.6719 | 4.60*** |
0.998
Persistence283d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.8149 | 1.57 |
α score Weight on the scaled score | 0.0569 | 18.19*** |
β persistence Volatility persistence | 0.9976 | 748.35*** |
ν DF Student-t tail thickness | 5.6719 | 4.60*** |
Persistence:
0.998
Half-life:
283 days
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