V-Lab
Japanese Yen GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
6.40%
increased by 0.22%
1 Week
6.44%
increased by 0.26%
1 Month
6.59%
increased by 0.41%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 244 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.70 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 | 0.5155 | 4.82*** |
α ARCH Response to squared shocks | 0.0289 | 94.47*** |
β GARCH Volatility persistence | 0.9972 | 1,722.23*** |
ν DF Student-t tail thickness | 2.6981 | 93.23*** |
Persistence:
0.997
Half-life:
244 days
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