Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
4.43%
decreased by 0.16%
1 Week
4.45%
decreased by 0.14%
1 Month
4.54%
decreased by 0.05%
Analysis last updated: Sunday, October 18, 2026 at 05:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2001 to Oct 16, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 288 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.998, shock half-life ~288 daysv = 2.72 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2334 | 1.37 |
| αARCH | 0.0333 | 22.51*** |
| βGARCH | 0.9976 | 658.48*** |
| νDF | 2.7156 | 27.00*** |
0.998
Persistence288d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2334 | 1.37 |
α ARCH Response to squared shocks | 0.0333 | 22.51*** |
β GARCH Volatility persistence | 0.9976 | 658.48*** |
ν DF Student-t tail thickness | 2.7156 | 27.00*** |
Persistence:
0.998
Half-life:
288 days
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