V-Lab
Beiersdorf AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
27.22%
decreased by 0.07%
1 Week
27.20%
decreased by 0.09%
1 Month
27.12%
decreased by 0.17%
Analysis last updated: Wednesday, August 26, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 21, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 113 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.34 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 | 2.5978 | 4.70*** |
α ARCH Response to squared shocks | 0.0423 | 42.21*** |
β GARCH Volatility persistence | 0.9939 | 794.49*** |
ν DF Student-t tail thickness | 4.3413 | 14.50*** |
Persistence:
0.994
Half-life:
113 days
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