V-Lab
Israeli Shekel GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
11.44%
decreased by 0.40%
1 Week
11.43%
decreased by 0.41%
1 Month
11.39%
decreased by 0.45%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Jul 24, 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 = 2.56 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 | 0.3546 | 5.24*** |
α ARCH Response to squared shocks | 0.0303 | 94.99*** |
β GARCH Volatility persistence | 0.9969 | 1,783.28*** |
ν DF Student-t tail thickness | 2.5618 | 117.41*** |
Persistence:
0.997
Half-life:
220 days
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