Beiersdorf AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
26.31%
increased by 0.25%
1 Week
26.31%
increased by 0.25%
1 Month
26.27%
increased by 0.21%
Analysis last updated: Tuesday, July 14, 2026 at 06:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 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 | 2.5992 | 4.69*** |
α ARCH Response to squared shocks | 0.0425 | 42.04*** |
β GARCH Volatility persistence | 0.9939 | 786.28*** |
ν DF Student-t tail thickness | 4.3350 | 14.48*** |
Persistence:
0.994
Half-life:
113 days
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