Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
212.30%
1 Week
216.25%
1 Month
231.23%
Analysis last updated: Thursday, October 29, 2026 at 11:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 438 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.51 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2,391.4255 | 1.49 |
| αscore | 0.2353 | 17.63*** |
| βpersistence | 0.9984 | 985.61*** |
| νDF | 4.5145 | 5.74*** |
0.998
Persistence438d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2,391.4255 | 1.49 |
α score Weight on the scaled score | 0.2353 | 17.63*** |
β persistence Volatility persistence | 0.9984 | 985.61*** |
ν DF Student-t tail thickness | 4.5145 | 5.74*** |
Persistence:
0.998
Half-life:
438 days
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