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V-Lab

Dana Brata Luhur Tbk PT GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 14th, 2026

1 Day

46.20%

decreased by 7.87%

1 Week

47.70%

decreased by 6.37%

1 Month

53.07%

decreased by 1.00%

Analysis last updated: Tuesday, July 14, 2026 at 08:33 PM UTC

Date Range:

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graph of Dana Brata Luhur Tbk PT GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 18, 2019 to Jul 10, 2026

Model Insight

With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.33 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

56.0486
6.62***
α

ARCH

Response to squared shocks

0.1598
83.27***
β

GARCH

Volatility persistence

0.9941
1,173.67***
ν

DF

Student-t tail thickness

2.3350
346.07***

Persistence:

0.994

Half-life:

117 days