V-Lab
FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 23rd, 2026
1 Day
11.78%
1 Week
11.87%
1 Month
12.21%
Analysis last updated: Tuesday, September 22, 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 Sep 18, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 188 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.59 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6820 | 1.40 |
| αARCH | 0.0820 | 19.18*** |
| βGARCH | 0.9963 | 418.10*** |
| νDF | 5.5947 | 4.69*** |
0.996
Persistence188d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6820 | 1.40 |
α ARCH Response to squared shocks | 0.0820 | 19.18*** |
β GARCH Volatility persistence | 0.9963 | 418.10*** |
ν DF Student-t tail thickness | 5.5947 | 4.69*** |
Persistence:
0.996
Half-life:
188 days
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