British Pound GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
6.84%
decreased by 0.04%
1 Week
6.86%
decreased by 0.02%
1 Month
6.92%
increased by 0.04%
Analysis last updated: Tuesday, July 21, 2026 at 07:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 310 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.79 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 | 0.3846 | 6.08*** |
α ARCH Response to squared shocks | 0.0210 | 80.38*** |
β GARCH Volatility persistence | 0.9978 | 2,810.62*** |
ν DF Student-t tail thickness | 2.7888 | 89.49*** |
Persistence:
0.998
Half-life:
310 days
Other British Pound Analyses
Other GAS-GARCH Student T Analyses on Currencies