V-Lab
Indonesia Prima Prop (Pt) GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
100.24%
decreased by 14.67%
1 Week
100.14%
decreased by 14.77%
1 Month
99.74%
decreased by 15.17%
Analysis last updated: Friday, July 24, 2026 at 08:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 31, 1992 to Jul 17, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.57 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 | 0.0000 | |
α ARCH Response to squared shocks | 0.2005 | 267.38*** |
β GARCH Volatility persistence | 0.9990 | |
ν DF Student-t tail thickness | 7.5715 | 130.35*** |
Persistence:
0.999
Half-life:
693 days
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