Varopakorn Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
29.13%
1 Week
32.64%
1 Month
43.46%
Analysis last updated: Friday, October 23, 2026 at 08:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 1992 to Oct 22, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 88 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.05 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 76.4947 | 2.12** |
| αscore | 0.1974 | 23.64*** |
| βpersistence | 0.9922 | 286.75*** |
| νDF | 4.0532 | 11.13*** |
0.992
Persistence88d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 76.4947 | 2.12** |
α score Weight on the scaled score | 0.1974 | 23.64*** |
β persistence Volatility persistence | 0.9922 | 286.75*** |
ν DF Student-t tail thickness | 4.0532 | 11.13*** |
Persistence:
0.992
Half-life:
88 days
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