Chilean Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
8.71%
1 Week
8.72%
1 Month
8.75%
Analysis last updated: Friday, October 23, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 419 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 = 4.53 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.5357 | 2.08** |
| αscore | 0.0573 | 23.32*** |
| βpersistence | 0.9983 | 1,442.70*** |
| νDF | 4.5308 | 12.44*** |
0.998
Persistence419d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.5357 | 2.08** |
α score Weight on the scaled score | 0.0573 | 23.32*** |
β persistence Volatility persistence | 0.9983 | 1,442.70*** |
ν DF Student-t tail thickness | 4.5308 | 12.44*** |
Persistence:
0.998
Half-life:
419 days
Other Chilean Peso Analyses
Other GAS-GARCH Student T Analyses on Currencies