Norwegian Krone GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
7.23%
decreased by 0.02%
1 Week
7.25%
decreased by 0.00%
1 Month
7.36%
increased by 0.11%
Analysis last updated: Friday, October 9, 2026 at 07:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 240 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.08 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.997, shock half-life ~240 daysv = 3.08 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4796 | 1.11 |
| αARCH | 0.0214 | 16.74*** |
| βGARCH | 0.9971 | 383.95*** |
| νDF | 3.0777 | 9.31*** |
0.997
Persistence240d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4796 | 1.11 |
α ARCH Response to squared shocks | 0.0214 | 16.74*** |
β GARCH Volatility persistence | 0.9971 | 383.95*** |
ν DF Student-t tail thickness | 3.0777 | 9.31*** |
Persistence:
0.997
Half-life:
240 days
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