Deutsche Bank AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
31.06%
1 Week
31.11%
1 Month
31.32%
Analysis last updated: Friday, October 9, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 276 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.66 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.4811 | 1.50 |
| αARCH | 0.0582 | 19.05*** |
| βGARCH | 0.9975 | 648.98*** |
| νDF | 5.6603 | 5.25*** |
0.997
Persistence276d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.4811 | 1.50 |
α ARCH Response to squared shocks | 0.0582 | 19.05*** |
β GARCH Volatility persistence | 0.9975 | 648.98*** |
ν DF Student-t tail thickness | 5.6603 | 5.25*** |
Persistence:
0.997
Half-life:
276 days
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