Hungarian Forint GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
8.13%
1 Week
8.15%
1 Month
8.21%
Analysis last updated: Thursday, October 29, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Oct 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 223 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.19 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4789 | 1.21 |
| αscore | 0.0297 | 13.56*** |
| βpersistence | 0.9969 | 430.44*** |
| νDF | 4.1862 | 4.45*** |
0.997
Persistence223d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4789 | 1.21 |
α score Weight on the scaled score | 0.0297 | 13.56*** |
β persistence Volatility persistence | 0.9969 | 430.44*** |
ν DF Student-t tail thickness | 4.1862 | 4.45*** |
Persistence:
0.997
Half-life:
223 days
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