V-Lab
Borsa Istanbul 100 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
22.47%
decreased by 0.17%
1 Week
22.76%
increased by 0.12%
1 Month
23.89%
increased by 1.25%
Analysis last updated: Friday, July 24, 2026 at 04:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 423 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 | 18.1431 | 6.04*** |
α ARCH Response to squared shocks | 0.0681 | 80.45*** |
β GARCH Volatility persistence | 0.9984 | 4,398.08*** |
ν DF Student-t tail thickness | 5.5638 | 19.22*** |
Persistence:
0.998
Half-life:
423 days
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