Danish Krone GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
4.79%
increased by 0.10%
1 Week
4.80%
increased by 0.11%
1 Month
4.87%
increased by 0.18%
Analysis last updated: Tuesday, October 13, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.999, shock half-life ~693 daysv = 3.20 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4243 | 2.27** |
| αARCH | 0.0215 | 19.65*** |
| βGARCH | 0.9990 | 2,635.88*** |
| νDF | 3.1995 | 31.72*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4243 | 2.27** |
α ARCH Response to squared shocks | 0.0215 | 19.65*** |
β GARCH Volatility persistence | 0.9990 | 2,635.88*** |
ν DF Student-t tail thickness | 3.1995 | 31.72*** |
Persistence:
0.999
Half-life:
693 days
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