V-Lab
Hungarian Forint GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
10.17%
increased by 0.94%
1 Week
12.55%
increased by 3.32%
1 Month
13.70%
increased by 4.47%
Analysis last updated: Tuesday, September 8, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Sep 4, 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 | 0.7854 | 0.00 |
| αARCH | 0.4335 | 0.00 |
| βGARCH | 0.5570 | 0.00 |
| νDF | 7.9954 | 0.00 |
0.557
Persistence1d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7854 | 0.00 |
α ARCH Response to squared shocks | 0.4335 | 0.00 |
β GARCH Volatility persistence | 0.5570 | 0.00 |
ν DF Student-t tail thickness | 7.9954 | 0.00 |
Persistence:
0.557
Half-life:
1 days
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