Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
937.28%
increased by 159.18%
1 Week
971.22%
increased by 193.12%
1 Month
1,066.77%
increased by 288.67%
Analysis last updated: Tuesday, July 14, 2026 at 07:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Jul 10, 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.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6,493.2960 | 2.66*** |
α ARCH Response to squared shocks | 0.2446 | 45.26*** |
β GARCH Volatility persistence | 0.9553 | 55.64*** |
ν DF Student-t tail thickness | 2.0062 | 3,667.61*** |
Persistence:
0.955
Half-life:
15 days
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