V-Lab
Australian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
6.18%
decreased by 0.13%
1 Week
6.23%
decreased by 0.08%
1 Month
6.41%
increased by 0.10%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 146 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.27 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4034 | 3.91*** |
α ARCH Response to squared shocks | 0.0267 | 49.66*** |
β GARCH Volatility persistence | 0.9953 | 768.55*** |
ν DF Student-t tail thickness | 3.2661 | 21.35*** |
Persistence:
0.995
Half-life:
146 days
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