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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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