V-Lab
Bangladesh Dhaka Stock Exchange Broad Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
11.41%
increased by 0.80%
1 Week
11.49%
increased by 0.88%
1 Month
11.83%
increased by 1.22%
Analysis last updated: Wednesday, August 19, 2026 at 05:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 28, 2013 to Aug 13, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 409 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 = 4.55 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 | 2.8736 | 9.79*** |
α ARCH Response to squared shocks | 0.1314 | 101.29*** |
β GARCH Volatility persistence | 0.9983 | 5,907.14*** |
ν DF Student-t tail thickness | 4.5544 | 54.20*** |
Persistence:
0.998
Half-life:
409 days
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