V-Lab
Canadian Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
6.96%
increased by 0.10%
1 Week
11.41%
increased by 4.55%
1 Month
17.80%
increased by 10.94%
Analysis last updated: Monday, September 7, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. Returns follow a Student-t distribution with v = 8.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 7-day half-lifev = 8.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.1321 | 0.00 |
| αARCH | 0.6812 | 0.00 |
| βGARCH | 0.9085 | 0.00 |
| νDF | 7.9990 | 0.00 |
0.908
Persistence7d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1321 | 0.00 |
α ARCH Response to squared shocks | 0.6812 | 0.00 |
β GARCH Volatility persistence | 0.9085 | 0.00 |
ν DF Student-t tail thickness | 7.9990 | 0.00 |
Persistence:
0.908
Half-life:
7 days
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