Japanese Yen GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
5.02%
1 Week
5.07%
1 Month
5.26%
Analysis last updated: Thursday, November 12, 2026 at 07:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 208 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.63 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4233 | 1.06 |
| αscore | 0.0385 | 18.54*** |
| βpersistence | 0.9967 | 317.61*** |
| νDF | 3.6274 | 7.65*** |
0.997
Persistence208d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4233 | 1.06 |
α score Weight on the scaled score | 0.0385 | 18.54*** |
β persistence Volatility persistence | 0.9967 | 317.61*** |
ν DF Student-t tail thickness | 3.6274 | 7.65*** |
Persistence:
0.997
Half-life:
208 days
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