V-Lab
Vienna Insurance Group GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
39.99%
1 Week
42.83%
1 Month
52.13%
Analysis last updated: Saturday, September 19, 2026 at 11:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2025 to Sep 18, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.86 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 54.8407 | 1.40 |
| αARCH | 0.2471 | 7.85*** |
| βGARCH | 0.9903 | 138.17*** |
| νDF | 3.8576 | 4.55*** |
0.990
Persistence71d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 54.8407 | 1.40 |
α ARCH Response to squared shocks | 0.2471 | 7.85*** |
β GARCH Volatility persistence | 0.9903 | 138.17*** |
ν DF Student-t tail thickness | 3.8576 | 4.55*** |
Persistence:
0.990
Half-life:
71 days
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