V-Lab
Australian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
6.35%
decreased by 0.13%
1 Week
6.40%
decreased by 0.08%
1 Month
6.57%
increased by 0.09%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 25, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 147 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
High persistence: persistence 0.995, shock half-life ~147 daysv = 3.27 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4022 | 0.98 |
| αARCH | 0.0266 | 12.50*** |
| βGARCH | 0.9953 | 194.32*** |
| νDF | 3.2708 | 5.35*** |
0.995
Persistence147d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4022 | 0.98 |
α ARCH Response to squared shocks | 0.0266 | 12.50*** |
β GARCH Volatility persistence | 0.9953 | 194.32*** |
ν DF Student-t tail thickness | 3.2708 | 5.35*** |
Persistence:
0.995
Half-life:
147 days
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