V-Lab
Bayer AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
23.35%
1 Week
23.51%
1 Month
24.11%
Analysis last updated: Saturday, September 19, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 |
|---|---|---|
| ωconst | 3.9437 | 0.96 |
| αARCH | 0.0574 | 7.93*** |
| βGARCH | 0.9915 | 112.25*** |
| νDF | 5.0065 | 2.13** |
0.992
Persistence81d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.9437 | 0.96 |
α ARCH Response to squared shocks | 0.0574 | 7.93*** |
β GARCH Volatility persistence | 0.9915 | 112.25*** |
ν DF Student-t tail thickness | 5.0065 | 2.13** |
Persistence:
0.992
Half-life:
81 days
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