V-Lab
Borsa Istanbul 100 Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
21.40%
decreased by 1.01%
1 Week
21.71%
decreased by 0.70%
1 Month
22.90%
increased by 0.49%
Analysis last updated: Friday, August 14, 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 14, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 426 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 | 18.1404 | 6.05*** |
α ARCH Response to squared shocks | 0.0680 | 80.54*** |
β GARCH Volatility persistence | 0.9984 | 4,437.22*** |
ν DF Student-t tail thickness | 5.5639 | 19.24*** |
Persistence:
0.998
Half-life:
426 days
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