V-Lab
Euro GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
4.90%
decreased by 0.04%
1 Week
4.92%
decreased by 0.02%
1 Month
5.01%
increased by 0.07%
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
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 552 trading days (~2.2 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4271 | 8.67*** |
α ARCH Response to squared shocks | 0.0216 | 78.43*** |
β GARCH Volatility persistence | 0.9987 | 8,054.39*** |
ν DF Student-t tail thickness | 3.2049 | 105.56*** |
Persistence:
0.999
Half-life:
552 days
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