Bayer AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
32.86%
1 Week
32.83%
1 Month
32.75%
Analysis last updated: Thursday, October 22, 2026 at 06:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 81 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 = 5.01 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.9761 | 0.96 |
| αscore | 0.0576 | 7.93*** |
| βpersistence | 0.9915 | 112.11*** |
| νDF | 5.0057 | 2.14** |
0.992
Persistence81d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.9761 | 0.96 |
α score Weight on the scaled score | 0.0576 | 7.93*** |
β persistence Volatility persistence | 0.9915 | 112.11*** |
ν DF Student-t tail thickness | 5.0057 | 2.14** |
Persistence:
0.992
Half-life:
81 days
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