Wal-Mart Stores Inc GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
24.57%
1 Week
24.59%
1 Month
24.70%
Analysis last updated: Thursday, October 29, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 169 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.50 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.1180 | 1.04 |
| αscore | 0.0554 | 13.34*** |
| βpersistence | 0.9959 | 254.19*** |
| νDF | 5.4997 | 3.37*** |
0.996
Persistence169d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.1180 | 1.04 |
α score Weight on the scaled score | 0.0554 | 13.34*** |
β persistence Volatility persistence | 0.9959 | 254.19*** |
ν DF Student-t tail thickness | 5.4997 | 3.37*** |
Persistence:
0.996
Half-life:
169 days
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