V-Lab
Esr-Reit GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
20.63%
decreased by 0.18%
1 Week
22.62%
increased by 1.81%
1 Month
28.08%
increased by 7.27%
Analysis last updated: Thursday, October 1, 2026 at 07:52 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 29, 2022 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 20 trading days, meaning a shock loses half its impact after approximately 20 days. Returns follow a Student-t distribution with v = 4.04 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 20-day half-lifev = 4.04 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.9648 | 0.97 |
| αARCH | 0.1502 | 5.11*** |
| βGARCH | 0.9666 | 28.35*** |
| νDF | 4.0361 | 2.87*** |
0.967
Persistence20d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.9648 | 0.97 |
α ARCH Response to squared shocks | 0.1502 | 5.11*** |
β GARCH Volatility persistence | 0.9666 | 28.35*** |
ν DF Student-t tail thickness | 4.0361 | 2.87*** |
Persistence:
0.967
Half-life:
20 days
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