Chilean Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
12.90%
decreased by 0.45%
1 Week
12.91%
decreased by 0.44%
1 Month
12.95%
decreased by 0.40%
Analysis last updated: Sunday, October 18, 2026 at 03:19 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Oct 16, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 408 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 = 2.31 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.998, shock half-life ~408 daysv = 2.31 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9677 | 1.93* |
| αARCH | 0.0293 | 27.20*** |
| βGARCH | 0.9983 | 1,331.07*** |
| νDF | 2.3125 | 125.69*** |
0.998
Persistence408d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9677 | 1.93* |
α ARCH Response to squared shocks | 0.0293 | 27.20*** |
β GARCH Volatility persistence | 0.9983 | 1,331.07*** |
ν DF Student-t tail thickness | 2.3125 | 125.69*** |
Persistence:
0.998
Half-life:
408 days
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