V-Lab
Bayerische Motoren Werke AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
28.41%
1 Week
28.46%
1 Month
28.66%
Analysis last updated: Saturday, September 19, 2026 at 08:48 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 0.996, volatility shocks have a half-life of 162 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.56 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.5906 | 1.10 |
| αARCH | 0.0512 | 13.84*** |
| βGARCH | 0.9957 | 251.64*** |
| νDF | 5.5620 | 3.05*** |
0.996
Persistence162d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.5906 | 1.10 |
α ARCH Response to squared shocks | 0.0512 | 13.84*** |
β GARCH Volatility persistence | 0.9957 | 251.64*** |
ν DF Student-t tail thickness | 5.5620 | 3.05*** |
Persistence:
0.996
Half-life:
162 days
Other Bayerische Motoren Werke AG Analyses
Other GAS-GARCH Student T Analyses on International Equities