Vietnam Hanoi Stock Exchange Equity Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
35.72%
increased by 1.35%
1 Week
35.91%
increased by 1.54%
1 Month
36.68%
increased by 2.31%
Analysis last updated: Friday, July 10, 2026 at 08:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2005 to Apr 29, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.52 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 32.8200 | 5.45*** |
α ARCH Response to squared shocks | 0.1395 | 86.91*** |
β GARCH Volatility persistence | 0.9990 | 5,370.97*** |
ν DF Student-t tail thickness | 5.5167 | 26.24*** |
Persistence:
0.999
Half-life:
693 days
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