Polish Zloty GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
9.82%
1 Week
9.83%
1 Month
9.87%
Analysis last updated: Thursday, November 12, 2026 at 07:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1993 to Nov 6, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 192 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.90 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.5316 | 1.21 |
| αscore | 0.0481 | 14.60*** |
| βpersistence | 0.9964 | 353.83*** |
| νDF | 4.9012 | 3.90*** |
0.996
Persistence192d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.5316 | 1.21 |
α score Weight on the scaled score | 0.0481 | 14.60*** |
β persistence Volatility persistence | 0.9964 | 353.83*** |
ν DF Student-t tail thickness | 4.9012 | 3.90*** |
Persistence:
0.996
Half-life:
192 days
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