V-Lab
Wealthfront Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
53.61%
decreased by 3.24%
1 Week
59.51%
increased by 2.66%
1 Month
63.69%
increased by 6.84%
Analysis last updated: Friday, July 24, 2026 at 10:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 12, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days. Returns follow a Student-t distribution with v = 4.14 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 | 16.8621 | 3.56*** |
α ARCH Response to squared shocks | 0.1629 | 2.18** |
β GARCH Volatility persistence | 0.6599 | 4.82*** |
ν DF Student-t tail thickness | 4.1443 | 0.99 |
Persistence:
0.660
Half-life:
2 days
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