V-Lab
Wealthfront Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
46.84%
decreased by 1.67%
1 Week
53.97%
increased by 5.46%
1 Month
59.42%
increased by 10.91%
Analysis last updated: Friday, August 21, 2026 at 10:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 12, 2025 to Aug 21, 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 = 4.28 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 | 14.9778 | 3.94*** |
α ARCH Response to squared shocks | 0.1669 | 2.68*** |
β GARCH Volatility persistence | 0.6908 | 6.40*** |
ν DF Student-t tail thickness | 4.2823 | 1.15 |
Persistence:
0.691
Half-life:
2 days
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