V-Lab
Varopakorn Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
251,360.79%
increased by 21,352.15%
1 Week
251,109.63%
increased by 21,100.99%
1 Month
250,108.81%
increased by 20,100.17%
Analysis last updated: Saturday, October 3, 2026 at 10:52 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 1992 to Oct 2, 2026Illiquid Asset
Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 7.1189 | 3.49*** |
| αARCH | 0.1197 | 282.27*** |
| βGARCH | 0.9990 | 3,112.15*** |
| νDF | 2.0000 |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.1189 | 3.49*** |
α ARCH Response to squared shocks | 0.1197 | 282.27*** |
β GARCH Volatility persistence | 0.9990 | 3,112.15*** |
ν DF Student-t tail thickness | 2.0000 |
Persistence:
0.999
Half-life:
693 days
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