Czech Koruna GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
5.22%
1 Week
5.24%
1 Month
5.33%
Analysis last updated: Thursday, October 29, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 19, 1993 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 375 trading days (~1.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.40 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4124 | 1.64 |
| αscore | 0.0304 | 17.16*** |
| βpersistence | 0.9982 | 978.58*** |
| νDF | 4.3981 | 7.62*** |
0.998
Persistence375d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4124 | 1.64 |
α score Weight on the scaled score | 0.0304 | 17.16*** |
β persistence Volatility persistence | 0.9982 | 978.58*** |
ν DF Student-t tail thickness | 4.3981 | 7.62*** |
Persistence:
0.998
Half-life:
375 days
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