V-Lab
South African Rand GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
12.28%
decreased by 0.50%
1 Week
12.30%
decreased by 0.48%
1 Month
12.36%
decreased by 0.42%
Analysis last updated: Sunday, July 26, 2026 at 03:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 358 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 | 1.0366 | 7.24*** |
α ARCH Response to squared shocks | 0.0378 | 106.21*** |
β GARCH Volatility persistence | 0.9981 | 4,229.09*** |
ν DF Student-t tail thickness | 2.8180 | 173.79*** |
Persistence:
0.998
Half-life:
358 days
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