V-Lab
US Dollar to Philippine Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
1,216,001.08%
increased by 31,006.76%
1 Week
1,209,567.92%
increased by 24,573.60%
1 Month
1,184,396.56%
decreased by 597.76%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 18, 1992 to Sep 25, 2026Model 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 | 0.5030 | 5.73*** |
| αARCH | 0.0899 | 42.44*** |
| βGARCH | 0.9947 | 1,290.14*** |
| νDF | 2.0000 |
0.995
Persistence130d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5030 | 5.73*** |
α ARCH Response to squared shocks | 0.0899 | 42.44*** |
β GARCH Volatility persistence | 0.9947 | 1,290.14*** |
ν DF Student-t tail thickness | 2.0000 |
Persistence:
0.995
Half-life:
130 days
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