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V-Lab

Singapore Dollar GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, July 17th, 2026

1 Day

3.32%

increased by 0.09%

1 Week

3.35%

increased by 0.12%

1 Month

3.47%

increased by 0.24%

Analysis last updated: Thursday, July 16, 2026 at 07:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Singapore Dollar GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model Insight

With persistence 0.993, volatility shocks have a half-life of 99 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.82 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.1028
3.42***
α

ARCH

Response to squared shocks

0.0355
59.10***
β

GARCH

Volatility persistence

0.9930
474.67***
ν

DF

Student-t tail thickness

2.8236
28.51***

Persistence:

0.993

Half-life:

99 days