South Korean Won GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
10.87%
decreased by 0.54%
1 Week
10.89%
decreased by 0.52%
1 Month
10.98%
decreased by 0.43%
Analysis last updated: Sunday, October 18, 2026 at 01:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Oct 16, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.78 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.999, shock half-life ~693 daysv = 2.78 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4488 | 1.90* |
| αARCH | 0.0451 | 24.81*** |
| βGARCH | 0.9990 | 2,068.32*** |
| νDF | 2.7819 | 46.07*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4488 | 1.90* |
α ARCH Response to squared shocks | 0.0451 | 24.81*** |
β GARCH Volatility persistence | 0.9990 | 2,068.32*** |
ν DF Student-t tail thickness | 2.7819 | 46.07*** |
Persistence:
0.999
Half-life:
693 days
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