V-Lab
Beiersdorf AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
24.12%
1 Week
24.14%
1 Month
24.20%
Analysis last updated: Saturday, October 3, 2026 at 07:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 2, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.35 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5861 | 1.18 |
| αARCH | 0.0420 | 10.55*** |
| βGARCH | 0.9939 | 199.38*** |
| νDF | 4.3504 | 3.61*** |
0.994
Persistence114d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5861 | 1.18 |
α ARCH Response to squared shocks | 0.0420 | 10.55*** |
β GARCH Volatility persistence | 0.9939 | 199.38*** |
ν DF Student-t tail thickness | 4.3504 | 3.61*** |
Persistence:
0.994
Half-life:
114 days
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