Hungarian Forint GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
10.94%
decreased by 1.97%
1 Week
12.84%
decreased by 0.07%
1 Month
13.78%
increased by 0.87%
Analysis last updated: Thursday, October 8, 2026 at 07:16 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. Returns follow a Student-t distribution with v = 8.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 1-day half-lifev = 8.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7871 | 0.00 |
| αARCH | 0.4329 | 0.00 |
| βGARCH | 0.5559 | 0.00 |
| νDF | 7.9956 | 0.00 |
0.556
Persistence1d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7871 | 0.00 |
α ARCH Response to squared shocks | 0.4329 | 0.00 |
β GARCH Volatility persistence | 0.5559 | 0.00 |
ν DF Student-t tail thickness | 7.9956 | 0.00 |
Persistence:
0.556
Half-life:
1 days
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