Croatian Kuna GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
5.12%
decreased by 0.09%
1 Week
5.14%
decreased by 0.07%
1 Month
5.22%
increased by 0.01%
Analysis last updated: Monday, October 12, 2026 at 07:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 9, 1996 to Oct 11, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 473 trading days (~1.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.78 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 ~473 daysv = 2.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3846 | 2.39** |
| αARCH | 0.0197 | 19.10*** |
| βGARCH | 0.9985 | 1,842.32*** |
| νDF | 2.7817 | 43.30*** |
0.999
Persistence473d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3846 | 2.39** |
α ARCH Response to squared shocks | 0.0197 | 19.10*** |
β GARCH Volatility persistence | 0.9985 | 1,842.32*** |
ν DF Student-t tail thickness | 2.7817 | 43.30*** |
Persistence:
0.999
Half-life:
473 days
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