Australian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
6.74%
increased by 0.30%
1 Week
6.77%
increased by 0.33%
1 Month
6.92%
increased by 0.48%
Analysis last updated: Wednesday, October 14, 2026 at 08:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 149 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
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High persistence: persistence 0.995, shock half-life ~149 daysv = 3.27 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4022 | 0.98 |
| αARCH | 0.0266 | 12.64*** |
| βGARCH | 0.9954 | 197.34*** |
| νDF | 3.2697 | 5.42*** |
0.995
Persistence149d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4022 | 0.98 |
α ARCH Response to squared shocks | 0.0266 | 12.64*** |
β GARCH Volatility persistence | 0.9954 | 197.34*** |
ν DF Student-t tail thickness | 3.2697 | 5.42*** |
Persistence:
0.995
Half-life:
149 days
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