V-Lab
ams-OSRAM AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
90.85%
decreased by 1.16%
1 Week
90.28%
decreased by 1.73%
1 Month
88.10%
decreased by 3.91%
Analysis last updated: Wednesday, August 5, 2026 at 08:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 14, 2004 to Jul 31, 2026Model Insight
Volatility shocks decay with a half-life of 65 trading days, meaning a shock loses half its impact after approximately 65 days. Returns follow a Student-t distribution with v = 3.45 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 | 13.0150 | 3.50*** |
α ARCH Response to squared shocks | 0.0546 | 33.85*** |
β GARCH Volatility persistence | 0.9894 | 317.54*** |
ν DF Student-t tail thickness | 3.4453 | 16.41*** |
Persistence:
0.989
Half-life:
65 days
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