V-Lab
Travelzoo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
54.38%
decreased by 2.05%
1 Week
55.11%
decreased by 1.32%
1 Month
57.91%
increased by 1.48%
Analysis last updated: Monday, August 24, 2026 at 09:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 to Aug 21, 2026Model 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 = 3.17 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 | 170.0413 | 9.69*** |
α ARCH Response to squared shocks | 0.0676 | 89.07*** |
β GARCH Volatility persistence | 0.9990 | 9,336.45*** |
ν DF Student-t tail thickness | 3.1703 | 96.79*** |
Persistence:
0.999
Half-life:
693 days
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