V-Lab
Czech Koruna GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
5.78%
decreased by 0.12%
1 Week
5.81%
decreased by 0.09%
1 Month
5.91%
increased by 0.01%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 19, 1993 to Aug 14, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 330 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 = 2.94 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 | 0.4295 | 6.94*** |
α ARCH Response to squared shocks | 0.0225 | 77.62*** |
β GARCH Volatility persistence | 0.9979 | 3,682.28*** |
ν DF Student-t tail thickness | 2.9382 | 89.03*** |
Persistence:
0.998
Half-life:
330 days
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