V-Lab
Colombian Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
155.22%
decreased by 8.79%
1 Week
155.20%
decreased by 8.81%
1 Month
155.12%
decreased by 8.89%
Analysis last updated: Friday, September 11, 2026 at 08:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 20, 1992 to Sep 11, 2026Extended Optimization
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
Tap to view equation
Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 88.3663 | 2.70*** |
| αARCH | 0.0427 | 36.22*** |
| βGARCH | 0.9983 | 1,760.73*** |
| νDF | 2.0032 |
0.998
Persistence416d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 88.3663 | 2.70*** |
α ARCH Response to squared shocks | 0.0427 | 36.22*** |
β GARCH Volatility persistence | 0.9983 | 1,760.73*** |
ν DF Student-t tail thickness | 2.0032 |
Persistence:
0.998
Half-life:
416 days
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