V-Lab
US Dollar to Turkish New Lira GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
2.69%
1 Week
2.82%
1 Month
3.28%
Analysis last updated: Tuesday, September 8, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 2001 to Sep 4, 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 = 2.30 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4315 | 1.92* |
| αARCH | 0.0604 | 32.60*** |
| βGARCH | 0.9990 | 1,921.15*** |
| νDF | 2.3045 | 340.64*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4315 | 1.92* |
α ARCH Response to squared shocks | 0.0604 | 32.60*** |
β GARCH Volatility persistence | 0.9990 | 1,921.15*** |
ν DF Student-t tail thickness | 2.3045 | 340.64*** |
Persistence:
0.999
Half-life:
693 days
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