Hikma Pharmaceuticals PLC GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
36.24%
increased by 3.78%
1 Week
36.43%
increased by 3.97%
1 Month
37.06%
increased by 4.60%
Analysis last updated: Tuesday, July 14, 2026 at 06:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 2, 2006 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 23 trading days, meaning a shock loses half its impact after approximately 23 days. Returns follow a Student-t distribution with v = 4.17 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 | 6.1732 | 5.27*** |
α ARCH Response to squared shocks | 0.0618 | 18.69*** |
β GARCH Volatility persistence | 0.9702 | 161.16*** |
ν DF Student-t tail thickness | 4.1653 | 6.17*** |
Persistence:
0.970
Half-life:
23 days
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