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V-Lab

Croatian Kuna GAS-GARCH Student T Volatility Analysis

Volatility prediction for Tuesday, July 28th, 2026

1 Day

5.51%

increased by 0.09%

1 Week

5.53%

increased by 0.11%

1 Month

5.60%

increased by 0.18%

Analysis last updated: Monday, July 27, 2026 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Croatian Kuna GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 9, 1996 to Jul 24, 2026

Model Insight

With persistence 0.998, volatility shocks have a half-life of 456 trading days (~1.8 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

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.3854
9.32***
α

ARCH

Response to squared shocks

0.0197
75.90***
β

GARCH

Volatility persistence

0.9985
6,933.90***
ν

DF

Student-t tail thickness

2.7831
164.72***

Persistence:

0.998

Half-life:

456 days