V-Lab
Malaysian Ringgit GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.23%
decreased by 0.59%
1 Week
10.25%
decreased by 0.57%
1 Month
10.34%
decreased by 0.48%
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
Dec 30, 2005 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 109 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 | 0.5694 | 3.74*** |
α ARCH Response to squared shocks | 0.0446 | 90.51*** |
β GARCH Volatility persistence | 0.9936 | 609.22*** |
ν DF Student-t tail thickness | 2.1209 | 337.51*** |
Persistence:
0.994
Half-life:
109 days
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