Israeli Shekel GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
11.40%
decreased by 0.40%
1 Week
11.39%
decreased by 0.41%
1 Month
11.35%
decreased by 0.45%
Analysis last updated: Monday, July 20, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 225 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 | 0.3579 | 5.34*** |
α ARCH Response to squared shocks | 0.0302 | 95.25*** |
β GARCH Volatility persistence | 0.9969 | 1,870.41*** |
ν DF Student-t tail thickness | 2.5627 | 121.19*** |
Persistence:
0.997
Half-life:
225 days
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