V-Lab
Allianz SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
18.11%
1 Week
18.38%
1 Month
19.37%
Analysis last updated: Friday, September 11, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 85 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 = 5.55 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.7310 | 1.24 |
| αARCH | 0.0775 | 12.00*** |
| βGARCH | 0.9919 | 145.86*** |
| νDF | 5.5540 | 3.08*** |
0.992
Persistence85d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7310 | 1.24 |
α ARCH Response to squared shocks | 0.0775 | 12.00*** |
β GARCH Volatility persistence | 0.9919 | 145.86*** |
ν DF Student-t tail thickness | 5.5540 | 3.08*** |
Persistence:
0.992
Half-life:
85 days
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