V-Lab
Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
625.47%
increased by 217.42%
1 Week
685.44%
increased by 277.39%
1 Month
838.46%
increased by 430.41%
Analysis last updated: Friday, September 11, 2026 at 08:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Sep 4, 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
Unreliable tails: v = 2.01 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5,039.4900 | 0.68 |
| αARCH | 0.2427 | 10.93*** |
| βGARCH | 0.9531 | 13.58*** |
| νDF | 2.0076 | 738.34*** |
0.953
Persistence14d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5,039.4900 | 0.68 |
α ARCH Response to squared shocks | 0.2427 | 10.93*** |
β GARCH Volatility persistence | 0.9531 | 13.58*** |
ν DF Student-t tail thickness | 2.0076 | 738.34*** |
Persistence:
0.953
Half-life:
14 days
Other Unicap Modaraba Analyses
Other GAS-GARCH Student T Analyses on International Equities