V-Lab
US Dollar to Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
1,126,484.09%
increased by 88,861.36%
1 Week
1,120,525.05%
increased by 82,902.32%
1 Month
1,097,209.00%
increased by 59,586.27%
Analysis last updated: Tuesday, August 18, 2026 at 07:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 18, 1992 to Aug 18, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5425 | 33.41*** |
α ARCH Response to squared shocks | 0.0911 | 317.33*** |
β GARCH Volatility persistence | 0.9947 | 5,920.81*** |
ν DF Student-t tail thickness | 2.0000 |
Persistence:
0.995
Half-life:
130 days
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