V-Lab
US Dollar to Turkish New Lira GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
2.82%
decreased by 0.02%
1 Week
2.94%
increased by 0.10%
1 Month
3.40%
increased by 0.56%
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
Feb 28, 2001 to Aug 14, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.31 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4710 | 7.65*** |
α ARCH Response to squared shocks | 0.0606 | 130.28*** |
β GARCH Volatility persistence | 0.9990 | 7,684.62*** |
ν DF Student-t tail thickness | 2.3100 | 1,325.30*** |
Persistence:
0.999
Half-life:
693 days
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