V-Lab
DHL Group GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
24.75%
increased by 0.03%
1 Week
24.85%
increased by 0.13%
1 Month
25.18%
increased by 0.46%
Analysis last updated: Saturday, July 25, 2026 at 11:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2000 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 43 trading days, meaning a shock loses half its impact after approximately 43 days. Returns follow a Student-t distribution with v = 5.52 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 | 3.0116 | 5.63*** |
α ARCH Response to squared shocks | 0.0649 | 24.40*** |
β GARCH Volatility persistence | 0.9839 | 319.34*** |
ν DF Student-t tail thickness | 5.5220 | 6.12*** |
Persistence:
0.984
Half-life:
43 days
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