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Chilean Peso GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

15.17%

decreased by 0.54%

1 Week

15.17%

decreased by 0.54%

1 Month

15.17%

decreased by 0.54%

Analysis last updated: Friday, July 17, 2026 at 07:36 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of Chilean Peso GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 31, 1992 to Jul 17, 2026

Model Insight

With persistence 0.998, volatility shocks have a half-life of 407 trading days (~1.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.32 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.9616
7.76***
α

ARCH

Response to squared shocks

0.0297
108.74***
β

GARCH

Volatility persistence

0.9983
5,338.49***
ν

DF

Student-t tail thickness

2.3195
493.09***

Persistence:

0.998

Half-life:

407 days