V-Lab
Euro GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
5.04%
decreased by 0.10%
1 Week
5.06%
decreased by 0.08%
1 Month
5.14%
decreased by 0.00%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 542 trading days (~2.1 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 | 0.4260 | 8.58*** |
α ARCH Response to squared shocks | 0.0215 | 78.34*** |
β GARCH Volatility persistence | 0.9987 | 7,802.51*** |
ν DF Student-t tail thickness | 3.2004 | 104.17*** |
Persistence:
0.999
Half-life:
542 days
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