V-Lab
Taiwan Stock Exchange Weighted Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
25.25%
decreased by 0.62%
1 Week
25.28%
decreased by 0.59%
1 Month
25.41%
decreased by 0.46%
Analysis last updated: Friday, September 4, 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 Sep 4, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 288 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 = 5.68 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 | 3.8663 | 1.59 |
α ARCH Response to squared shocks | 0.0568 | 18.14*** |
β GARCH Volatility persistence | 0.9976 | 774.53*** |
ν DF Student-t tail thickness | 5.6777 | 4.63*** |
Persistence:
0.998
Half-life:
288 days
Other Taiwan Stock Exchange Weighted Index Analyses
Other GAS-GARCH Student T Analyses on Equity Indices