V-Lab
Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
648.72%
decreased by 120.88%
1 Week
774.77%
increased by 5.17%
1 Month
1,078.17%
increased by 308.57%
Analysis last updated: Wednesday, October 7, 2026 at 08:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Oct 2, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 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
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 11,411.9685 | 0.66 |
| αARCH | 0.2439 | 13.40*** |
| βGARCH | 0.9620 | 16.55*** |
| νDF | 2.0039 | 1,674.08*** |
0.962
Persistence18d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 11,411.9685 | 0.66 |
α ARCH Response to squared shocks | 0.2439 | 13.40*** |
β GARCH Volatility persistence | 0.9620 | 16.55*** |
ν DF Student-t tail thickness | 2.0039 | 1,674.08*** |
Persistence:
0.962
Half-life:
18 days
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