Singapore Dollar GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
2.69%
increased by 0.11%
1 Week
2.73%
increased by 0.15%
1 Month
2.90%
increased by 0.32%
Analysis last updated: Monday, October 19, 2026 at 07:11 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 102 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
High persistence: persistence 0.993, shock half-life ~102 daysv = 2.82 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1026 | 0.86 |
| αARCH | 0.0355 | 15.28*** |
| βGARCH | 0.9932 | 123.52*** |
| νDF | 2.8216 | 7.40*** |
0.993
Persistence102d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1026 | 0.86 |
α ARCH Response to squared shocks | 0.0355 | 15.28*** |
β GARCH Volatility persistence | 0.9932 | 123.52*** |
ν DF Student-t tail thickness | 2.8216 | 7.40*** |
Persistence:
0.993
Half-life:
102 days
Other Singapore Dollar Analyses
Other GAS-GARCH Student T Analyses on Currencies