Bangladesh Dhaka Stock Exchange Broad Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
10.59%
decreased by 0.93%
1 Week
10.68%
decreased by 0.84%
1 Month
11.06%
decreased by 0.46%
Analysis last updated: Thursday, July 16, 2026 at 05:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 28, 2013 to Jul 9, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 411 trading days (~1.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.52 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 | 2.8937 | 9.80*** |
α ARCH Response to squared shocks | 0.1314 | 101.49*** |
β GARCH Volatility persistence | 0.9983 | 5,977.93*** |
ν DF Student-t tail thickness | 4.5157 | 55.24*** |
Persistence:
0.998
Half-life:
411 days
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