Norwegian Krone GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
7.24%
1 Week
7.26%
1 Month
7.33%
Analysis last updated: Sunday, November 8, 2026 at 02:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 245 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 = 4.33 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4506 | 1.13 |
| αscore | 0.0277 | 14.05*** |
| βpersistence | 0.9972 | 397.12*** |
| νDF | 4.3265 | 4.13*** |
0.997
Persistence245d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4506 | 1.13 |
α score Weight on the scaled score | 0.0277 | 14.05*** |
β persistence Volatility persistence | 0.9972 | 397.12*** |
ν DF Student-t tail thickness | 4.3265 | 4.13*** |
Persistence:
0.997
Half-life:
245 days
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