V-Lab
Visa Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
20.53%
1 Week
20.83%
1 Month
21.98%
Analysis last updated: Saturday, September 12, 2026 at 12:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 19, 2008 to Sep 11, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 379 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.13 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 15.1803 | 1.38 |
| αARCH | 0.0896 | 16.52*** |
| βGARCH | 0.9982 | 776.19*** |
| νDF | 5.1264 | 5.46*** |
0.998
Persistence379d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 15.1803 | 1.38 |
α ARCH Response to squared shocks | 0.0896 | 16.52*** |
β GARCH Volatility persistence | 0.9982 | 776.19*** |
ν DF Student-t tail thickness | 5.1264 | 5.46*** |
Persistence:
0.998
Half-life:
379 days
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