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V-Lab

Wawel Sa GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

23.24%

decreased by 0.72%

1 Week

25.39%

increased by 1.43%

1 Month

30.33%

increased by 6.37%

Analysis last updated: Sunday, July 19, 2026 at 03:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Wawel Sa GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 30, 1998 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. Returns follow a Student-t distribution with v = 3.04 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.4643
6.92***
α

ARCH

Response to squared shocks

0.1484
25.32***
β

GARCH

Volatility persistence

0.9333
96.82***
ν

DF

Student-t tail thickness

3.0400
21.22***

Persistence:

0.933

Half-life:

10 days