V-Lab
Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
4.75%
decreased by 0.17%
1 Week
4.77%
decreased by 0.15%
1 Month
4.84%
decreased by 0.08%
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
Jan 31, 2001 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 282 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 = 2.69 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 | 0.2378 | 5.41*** |
α ARCH Response to squared shocks | 0.0337 | 90.22*** |
β GARCH Volatility persistence | 0.9975 | 2,551.26*** |
ν DF Student-t tail thickness | 2.6942 | 110.41*** |
Persistence:
0.998
Half-life:
282 days
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