African Rainbow Minerals Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
54.69%
decreased by 1.30%
1 Week
54.74%
decreased by 1.25%
1 Month
54.91%
decreased by 1.08%
Analysis last updated: Tuesday, July 14, 2026 at 06:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 24, 2006 to Jul 10, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.93 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 | 12.9932 | 5.17*** |
α ARCH Response to squared shocks | 0.0485 | 28.53*** |
β GARCH Volatility persistence | 0.9912 | 651.65*** |
ν DF Student-t tail thickness | 4.9311 | 8.65*** |
Persistence:
0.991
Half-life:
78 days
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