V-Lab
South African Rand GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
10.37%
increased by 0.33%
1 Week
10.40%
increased by 0.36%
1 Month
10.51%
increased by 0.47%
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
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 356 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0305 | 7.19*** |
α ARCH Response to squared shocks | 0.0378 | 106.51*** |
β GARCH Volatility persistence | 0.9981 | 4,175.96*** |
ν DF Student-t tail thickness | 2.8172 | 172.64*** |
Persistence:
0.998
Half-life:
356 days
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