Chilean Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
11.31%
1 Week
11.31%
1 Month
11.30%
Analysis last updated: Thursday, November 12, 2026 at 07:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Nov 6, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 423 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.52 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.5408 | 2.10** |
| αscore | 0.0572 | 23.33*** |
| βpersistence | 0.9984 | 1,472.51*** |
| νDF | 4.5228 | 12.60*** |
0.998
Persistence423d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.5408 | 2.10** |
α score Weight on the scaled score | 0.0572 | 23.33*** |
β persistence Volatility persistence | 0.9984 | 1,472.51*** |
ν DF Student-t tail thickness | 4.5228 | 12.60*** |
Persistence:
0.998
Half-life:
423 days
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