S&P MERVAL Argentina Total Return Index ARS GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
26.29%
1 Week
26.89%
1 Month
29.18%
Analysis last updated: Friday, October 16, 2026 at 09:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1990 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 = 6.76 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 66.8343 | 1.06 |
| αscore | 0.1003 | 19.90*** |
| βpersistence | 0.9990 | 1,039.54*** |
| νDF | 6.7553 | 3.81*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 66.8343 | 1.06 |
α score Weight on the scaled score | 0.1003 | 19.90*** |
β persistence Volatility persistence | 0.9990 | 1,039.54*** |
ν DF Student-t tail thickness | 6.7553 | 3.81*** |
Persistence:
0.999
Half-life:
693 days
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