Brazilian Real GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
15.24%
decreased by 0.69%
1 Week
15.32%
decreased by 0.61%
1 Month
15.66%
decreased by 0.27%
Analysis last updated: Sunday, October 18, 2026 at 06:02 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Oct 16, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.31 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.999, shock half-life ~693 daysv = 2.31 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.1202 | 3.00*** |
| αARCH | 0.0394 | 26.70*** |
| βGARCH | 0.9990 | 3,307.95*** |
| νDF | 2.3131 | 140.85*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.1202 | 3.00*** |
α ARCH Response to squared shocks | 0.0394 | 26.70*** |
β GARCH Volatility persistence | 0.9990 | 3,307.95*** |
ν DF Student-t tail thickness | 2.3131 | 140.85*** |
Persistence:
0.999
Half-life:
693 days
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