Malaysian Ringgit GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
9.95%
increased by 2.28%
1 Week
13.65%
increased by 5.98%
1 Month
19.80%
increased by 12.13%
Analysis last updated: Thursday, October 29, 2026 at 07:09 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 2005 to Oct 23, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. Returns follow a Student-t distribution with v = 8.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 8-day half-lifev = 8.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.0834 | 0.01 |
| αscore | 0.7249 | 0.00 |
| βpersistence | 0.9134 | 0.02 |
| νDF | 7.9982 | 0.32 |
0.913
Persistence8d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.0834 | 0.01 |
α score Weight on the scaled score | 0.7249 | 0.00 |
β persistence Volatility persistence | 0.9134 | 0.02 |
ν DF Student-t tail thickness | 7.9982 | 0.32 |
Persistence:
0.913
Half-life:
8 days
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