V-Lab
Malaysian Ringgit GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
6.32%
increased by 0.64%
1 Week
6.43%
increased by 0.75%
1 Month
6.82%
increased by 1.14%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 2005 to Aug 14, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 105 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.12 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 | 0.5689 | 3.65*** |
α ARCH Response to squared shocks | 0.0459 | 91.47*** |
β GARCH Volatility persistence | 0.9934 | 572.24*** |
ν DF Student-t tail thickness | 2.1205 | 329.31*** |
Persistence:
0.993
Half-life:
105 days
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