V-Lab
Czech Koruna GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
6.20%
decreased by 0.13%
1 Week
6.22%
decreased by 0.11%
1 Month
6.31%
decreased by 0.02%
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
Apr 19, 1993 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 326 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.93 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 | 0.4311 | 6.90*** |
α ARCH Response to squared shocks | 0.0225 | 77.52*** |
β GARCH Volatility persistence | 0.9979 | 3,628.65*** |
ν DF Student-t tail thickness | 2.9340 | 88.24*** |
Persistence:
0.998
Half-life:
326 days
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