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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 9, 1996 to Jul 24, 2026Model 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
| Parameter | Value | t-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
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