V-Lab
US Dollar to Costa Rican Colon GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
8.54%
increased by 0.81%
1 Week
10.32%
increased by 2.59%
1 Month
14.04%
increased by 6.31%
Analysis last updated: Thursday, October 1, 2026 at 08:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 7, 1994 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days. Returns follow a Student-t distribution with v = 7.99 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 11-day half-lifev = 7.99 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4115 | 0.00 |
| αARCH | 0.6863 | 0.00 |
| βGARCH | 0.9366 | 0.01 |
| νDF | 7.9919 | 0.00 |
0.937
Persistence11d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4115 | 0.00 |
α ARCH Response to squared shocks | 0.6863 | 0.00 |
β GARCH Volatility persistence | 0.9366 | 0.01 |
ν DF Student-t tail thickness | 7.9919 | 0.00 |
Persistence:
0.937
Half-life:
11 days
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