Urbana Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
33.18%
decreased by 2.58%
1 Week
34.19%
decreased by 1.57%
1 Month
37.94%
increased by 2.18%
Analysis last updated: Wednesday, July 15, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 1990 to Jul 10, 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 = 4.27 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 | 139.5563 | 8.41*** |
α ARCH Response to squared shocks | 0.0972 | 89.32*** |
β GARCH Volatility persistence | 0.9990 | 8,919.64*** |
ν DF Student-t tail thickness | 4.2728 | 54.30*** |
Persistence:
0.999
Half-life:
693 days
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