V-Lab
Polish Zloty GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
10.80%
increased by 5.93%
1 Week
11.62%
increased by 6.75%
1 Month
13.09%
increased by 8.22%
Analysis last updated: Monday, October 5, 2026 at 07:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1993 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. Returns follow a Student-t distribution with v = 8.00 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 6-day half-lifev = 8.00 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8102 | 0.00 |
| αARCH | 0.6475 | 0.00 |
| βGARCH | 0.8824 | 0.01 |
| νDF | 7.9990 | 0.00 |
0.882
Persistence6d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8102 | 0.00 |
α ARCH Response to squared shocks | 0.6475 | 0.00 |
β GARCH Volatility persistence | 0.8824 | 0.01 |
ν DF Student-t tail thickness | 7.9990 | 0.00 |
Persistence:
0.882
Half-life:
6 days
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