V-Lab
Bayer AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
26.47%
decreased by 0.13%
1 Week
26.56%
decreased by 0.04%
1 Month
26.91%
increased by 0.31%
Analysis last updated: Saturday, August 22, 2026 at 08:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 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 = 5.00 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 | 3.9687 | 3.81*** |
α ARCH Response to squared shocks | 0.0569 | 31.89*** |
β GARCH Volatility persistence | 0.9917 | 457.22*** |
ν DF Student-t tail thickness | 4.9986 | 8.61*** |
Persistence:
0.992
Half-life:
83 days
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