V-Lab
FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.48%
increased by 0.70%
1 Week
10.59%
increased by 0.81%
1 Month
11.01%
increased by 1.23%
Analysis last updated: Friday, July 24, 2026 at 10:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 190 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.58 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 | 1.6952 | 5.61*** |
α ARCH Response to squared shocks | 0.0820 | 77.06*** |
β GARCH Volatility persistence | 0.9964 | 1,697.38*** |
ν DF Student-t tail thickness | 5.5828 | 18.97*** |
Persistence:
0.996
Half-life:
190 days
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