Israeli Shekel GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
9.80%
decreased by 0.33%
1 Week
9.79%
decreased by 0.34%
1 Month
9.78%
decreased by 0.35%
Analysis last updated: Sunday, October 11, 2026 at 01:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Oct 9, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 220 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 = 2.57 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.997, shock half-life ~220 daysv = 2.57 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3497 | 1.31 |
| αARCH | 0.0301 | 23.75*** |
| βGARCH | 0.9969 | 443.64*** |
| νDF | 2.5681 | 28.86*** |
0.997
Persistence220d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3497 | 1.31 |
α ARCH Response to squared shocks | 0.0301 | 23.75*** |
β GARCH Volatility persistence | 0.9969 | 443.64*** |
ν DF Student-t tail thickness | 2.5681 | 28.86*** |
Persistence:
0.997
Half-life:
220 days
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