V-Lab
Deutsche Bank AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
30.29%
increased by 0.12%
1 Week
30.35%
increased by 0.18%
1 Month
30.57%
increased by 0.40%
Analysis last updated: Wednesday, August 5, 2026 at 06:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 280 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.4860 | 6.05*** |
α ARCH Response to squared shocks | 0.0579 | 76.30*** |
β GARCH Volatility persistence | 0.9975 | 2,667.18*** |
ν DF Student-t tail thickness | 5.6632 | 21.18*** |
Persistence:
0.998
Half-life:
280 days
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