Euro GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
5.08%
increased by 0.05%
1 Week
5.10%
increased by 0.07%
1 Month
5.18%
increased by 0.15%
Analysis last updated: Thursday, October 8, 2026 at 07:16 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 570 trading days (~2.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.999, shock half-life ~570 daysv = 3.20 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4311 | 2.21** |
| αARCH | 0.0216 | 19.69*** |
| βGARCH | 0.9988 | 2,138.73*** |
| νDF | 3.2011 | 27.43*** |
0.999
Persistence570d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4311 | 2.21** |
α ARCH Response to squared shocks | 0.0216 | 19.69*** |
β GARCH Volatility persistence | 0.9988 | 2,138.73*** |
ν DF Student-t tail thickness | 3.2011 | 27.43*** |
Persistence:
0.999
Half-life:
570 days
Other Euro Analyses
Other GAS-GARCH Student T Analyses on Currencies