V-Lab
Unicap Modaraba GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
668.00%
increased by 187.07%
1 Week
702.89%
increased by 221.96%
1 Month
795.35%
increased by 314.42%
Analysis last updated: Tuesday, August 25, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Aug 24, 2026Illiquid Asset
Extended Optimization
Model 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 | 3,737.6366 | 2.81*** |
α ARCH Response to squared shocks | 0.2413 | 40.98*** |
β GARCH Volatility persistence | 0.9493 | 51.07*** |
ν DF Student-t tail thickness | 2.0096 | 2,210.74*** |
Persistence:
0.949
Half-life:
13 days
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