V-Lab
City of London Investment Group PLC GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, August 13th, 2026
1 Day
85.61%
increased by 10.18%
1 Week
85.91%
increased by 10.48%
1 Month
87.07%
increased by 11.64%
Analysis last updated: Thursday, August 13, 2026 at 07:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2026 to Jul 24, 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 = 2.33 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 | 129.7446 | 8.42*** |
α ARCH Response to squared shocks | 0.0743 | 9.73*** |
β GARCH Volatility persistence | 0.9990 | 1,052.69*** |
ν DF Student-t tail thickness | 2.3269 | 66.84*** |
Persistence:
0.999
Half-life:
693 days
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