V-Lab
Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
693.44%
decreased by 209.78%
1 Week
764.97%
decreased by 138.25%
1 Month
948.57%
increased by 45.35%
Analysis last updated: Wednesday, August 5, 2026 at 08:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Jul 31, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.01 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6,807.7760 | 2.67*** |
α ARCH Response to squared shocks | 0.2440 | 45.80*** |
β GARCH Volatility persistence | 0.9558 | 56.54*** |
ν DF Student-t tail thickness | 2.0059 | 3,872.48*** |
Persistence:
0.956
Half-life:
15 days
Other Unicap Modaraba Analyses
Other GAS-GARCH Student T Analyses on International Equities