V-Lab
Chilean Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
13.72%
decreased by 0.49%
1 Week
13.72%
decreased by 0.49%
1 Month
13.75%
decreased by 0.46%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 406 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9625 | 7.73*** |
α ARCH Response to squared shocks | 0.0297 | 108.71*** |
β GARCH Volatility persistence | 0.9983 | 5,310.07*** |
ν DF Student-t tail thickness | 2.3181 | 493.64*** |
Persistence:
0.998
Half-life:
406 days
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