Japanese Yen GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
5.97%
1 Week
6.02%
1 Month
6.18%
Analysis last updated: Tuesday, October 20, 2026 at 08:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 243 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 = 2.69 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.5158 | 1.20 |
| αscore | 0.0289 | 23.72*** |
| βpersistence | 0.9971 | 424.32*** |
| νDF | 2.6895 | 23.41*** |
0.997
Persistence243d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.5158 | 1.20 |
α score Weight on the scaled score | 0.0289 | 23.72*** |
β persistence Volatility persistence | 0.9971 | 424.32*** |
ν DF Student-t tail thickness | 2.6895 | 23.41*** |
Persistence:
0.997
Half-life:
243 days
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