V-Lab
Varopakorn Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
217,995.03%
increased by 16,731.37%
1 Week
217,777.12%
increased by 16,513.46%
1 Month
216,909.20%
increased by 15,645.54%
Analysis last updated: Friday, September 11, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 1992 to Sep 4, 2026Model 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
Tap to view equation
Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.0942 | 0.73 |
| αARCH | 0.1197 | 78.74*** |
| βGARCH | 0.9990 | 741.65*** |
| νDF | 2.0000 |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.0942 | 0.73 |
α ARCH Response to squared shocks | 0.1197 | 78.74*** |
β GARCH Volatility persistence | 0.9990 | 741.65*** |
ν DF Student-t tail thickness | 2.0000 |
Persistence:
0.999
Half-life:
693 days
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