South African Rand GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
11.21%
decreased by 0.12%
1 Week
11.23%
decreased by 0.10%
1 Month
11.32%
decreased by 0.01%
Analysis last updated: Thursday, October 8, 2026 at 07:20 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 355 trading days (~1.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.82 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.998, shock half-life ~355 daysv = 2.82 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0270 | 1.79* |
| αARCH | 0.0378 | 26.64*** |
| βGARCH | 0.9980 | 1,037.47*** |
| νDF | 2.8213 | 42.62*** |
0.998
Persistence355d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0270 | 1.79* |
α ARCH Response to squared shocks | 0.0378 | 26.64*** |
β GARCH Volatility persistence | 0.9980 | 1,037.47*** |
ν DF Student-t tail thickness | 2.8213 | 42.62*** |
Persistence:
0.998
Half-life:
355 days
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