Travelzoo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
48.48%
increased by 2.58%
1 Week
49.29%
increased by 3.39%
1 Month
52.41%
increased by 6.51%
Analysis last updated: Saturday, October 10, 2026 at 12:59 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 to Oct 9, 2026Boundary Parameters
Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.18 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.999, shock half-life ~693 daysv = 3.18 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 167.6126 | 2.42** |
| αARCH | 0.0675 | 22.26*** |
| βGARCH | 0.9990 | 2,317.87*** |
| νDF | 3.1807 | 23.88*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 167.6126 | 2.42** |
α ARCH Response to squared shocks | 0.0675 | 22.26*** |
β GARCH Volatility persistence | 0.9990 | 2,317.87*** |
ν DF Student-t tail thickness | 3.1807 | 23.88*** |
Persistence:
0.999
Half-life:
693 days
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