V-Lab
Norwegian Krone GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
9.54%
increased by 0.19%
1 Week
9.55%
increased by 0.20%
1 Month
9.58%
increased by 0.23%
Analysis last updated: Thursday, July 30, 2026 at 07:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 239 trading days (~0.9 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4842 | 4.44*** |
α ARCH Response to squared shocks | 0.0213 | 66.28*** |
β GARCH Volatility persistence | 0.9971 | 1,541.13*** |
ν DF Student-t tail thickness | 3.0821 | 36.78*** |
Persistence:
0.997
Half-life:
239 days
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