V-Lab
Travelzoo Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
53.34%
increased by 3.30%
1 Week
54.08%
increased by 4.04%
1 Month
56.93%
increased by 6.89%
Analysis last updated: Friday, September 18, 2026 at 11:00 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 to Sep 18, 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 | 169.4565 | 2.42** |
| αARCH | 0.0677 | 22.28*** |
| βGARCH | 0.9990 | 2,323.26*** |
| νDF | 3.1776 | 23.96*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 169.4565 | 2.42** |
α ARCH Response to squared shocks | 0.0677 | 22.28*** |
β GARCH Volatility persistence | 0.9990 | 2,323.26*** |
ν DF Student-t tail thickness | 3.1776 | 23.96*** |
Persistence:
0.999
Half-life:
693 days
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