US Dollar to Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
273,900.27%
increased by 13,801.65%
1 Week
273,187.41%
increased by 13,088.79%
1 Month
270,366.57%
increased by 10,267.95%
Analysis last updated: Friday, October 16, 2026 at 07:59 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 18, 1992 to Oct 16, 2026Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7256 | 1.62 |
| αARCH | 0.0823 | 11.39*** |
| βGARCH | 0.9974 | 1,551.16*** |
| νDF | 2.0000 | 3,294.89*** |
0.997
Persistence266d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7256 | 1.62 |
α ARCH Response to squared shocks | 0.0823 | 11.39*** |
β GARCH Volatility persistence | 0.9974 | 1,551.16*** |
ν DF Student-t tail thickness | 2.0000 | 3,294.89*** |
Persistence:
0.997
Half-life:
266 days
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