V-Lab
South Korean Won GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
12.53%
decreased by 0.62%
1 Week
12.54%
decreased by 0.61%
1 Month
12.61%
decreased by 0.54%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Jul 24, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4569 | 7.60*** |
α ARCH Response to squared shocks | 0.0453 | 99.16*** |
β GARCH Volatility persistence | 0.9990 | 8,256.20*** |
ν DF Student-t tail thickness | 2.7818 | 182.78*** |
Persistence:
0.999
Half-life:
693 days
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