Australian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
6.09%
1 Week
6.13%
1 Month
6.30%
Analysis last updated: Sunday, November 8, 2026 at 02:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.57 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.3829 | 1.12 |
| αscore | 0.0335 | 9.78*** |
| βpersistence | 0.9950 | 207.59*** |
| νDF | 4.5653 | 2.62*** |
0.995
Persistence138d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.3829 | 1.12 |
α score Weight on the scaled score | 0.0335 | 9.78*** |
β persistence Volatility persistence | 0.9950 | 207.59*** |
ν DF Student-t tail thickness | 4.5653 | 2.62*** |
Persistence:
0.995
Half-life:
138 days
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