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Beiersdorf AG GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

25.70%

decreased by 0.60%

1 Week

25.70%

decreased by 0.60%

1 Month

25.70%

decreased by 0.60%

Analysis last updated: Saturday, July 18, 2026 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Beiersdorf AG GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 17, 2026

Model Insight

With persistence 0.994, volatility shocks have a half-life of 112 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.5967
4.69***
α

ARCH

Response to squared shocks

0.0425
42.00***
β

GARCH

Volatility persistence

0.9939
786.28***
ν

DF

Student-t tail thickness

4.3391
14.44***

Persistence:

0.994

Half-life:

112 days