Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
4.26%
1 Week
4.28%
1 Month
4.35%
Analysis last updated: Friday, October 30, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2001 to Oct 30, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 161 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.13 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.1766 | 0.90 |
| αscore | 0.0568 | 15.52*** |
| βpersistence | 0.9957 | 211.00*** |
| νDF | 4.1345 | 4.91*** |
0.996
Persistence161d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.1766 | 0.90 |
α score Weight on the scaled score | 0.0568 | 15.52*** |
β persistence Volatility persistence | 0.9957 | 211.00*** |
ν DF Student-t tail thickness | 4.1345 | 4.91*** |
Persistence:
0.996
Half-life:
161 days
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