V-Lab
Weyerhaeuser Co GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
31.43%
increased by 1.05%
1 Week
31.43%
increased by 1.05%
1 Month
31.46%
increased by 1.08%
Analysis last updated: Thursday, October 1, 2026 at 11:19 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 25, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 103 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.23 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.993, shock half-life ~103 daysv = 7.23 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.0262 | 1.42 |
| αARCH | 0.0514 | 9.04*** |
| βGARCH | 0.9933 | 192.35*** |
| νDF | 7.2281 | 1.52 |
0.993
Persistence103d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.0262 | 1.42 |
α ARCH Response to squared shocks | 0.0514 | 9.04*** |
β GARCH Volatility persistence | 0.9933 | 192.35*** |
ν DF Student-t tail thickness | 7.2281 | 1.52 |
Persistence:
0.993
Half-life:
103 days
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