Deutsche Bank AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
37.39%
1 Week
37.40%
1 Month
37.46%
Analysis last updated: Friday, October 30, 2026 at 06:30 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 271 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 = 5.87 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 6.4130 | 1.47 |
| αscore | 0.0584 | 18.40*** |
| βpersistence | 0.9974 | 625.36*** |
| νDF | 5.8694 | 4.68*** |
0.997
Persistence271d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 6.4130 | 1.47 |
α score Weight on the scaled score | 0.0584 | 18.40*** |
β persistence Volatility persistence | 0.9974 | 625.36*** |
ν DF Student-t tail thickness | 5.8694 | 4.68*** |
Persistence:
0.997
Half-life:
271 days
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