V-Lab
Borsa Istanbul 100 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
20.00%
decreased by 0.91%
1 Week
20.34%
decreased by 0.57%
1 Month
21.61%
increased by 0.70%
Analysis last updated: Monday, August 24, 2026 at 03:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 429 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.56 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 | 18.1725 | 6.07*** |
α ARCH Response to squared shocks | 0.0679 | 80.63*** |
β GARCH Volatility persistence | 0.9984 | 4,477.06*** |
ν DF Student-t tail thickness | 5.5607 | 19.30*** |
Persistence:
0.998
Half-life:
429 days
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