Croatian Kuna GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
5.39%
decreased by 0.09%
1 Week
5.41%
decreased by 0.07%
1 Month
5.48%
increased by 0.00%
Analysis last updated: Monday, July 20, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 9, 1996 to Jul 17, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 455 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 | 0.3856 | 9.31*** |
α ARCH Response to squared shocks | 0.0196 | 75.83*** |
β GARCH Volatility persistence | 0.9985 | 6,886.05*** |
ν DF Student-t tail thickness | 2.7831 | 164.02*** |
Persistence:
0.998
Half-life:
455 days
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