V-Lab
DHL AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
18.51%
increased by 0.13%
1 Week
18.86%
increased by 0.48%
1 Month
20.07%
increased by 1.69%
Analysis last updated: Saturday, September 19, 2026 at 08:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2000 to Sep 18, 2026Model Insight
Volatility shocks decay with a half-life of 42 trading days, meaning a shock loses half its impact after approximately 42 days. Returns follow a Student-t distribution with v = 5.50 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 42-day half-lifev = 5.50 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.9875 | 1.42 |
| αARCH | 0.0654 | 6.10*** |
| βGARCH | 0.9837 | 79.60*** |
| νDF | 5.5018 | 1.55 |
0.984
Persistence42d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.9875 | 1.42 |
α ARCH Response to squared shocks | 0.0654 | 6.10*** |
β GARCH Volatility persistence | 0.9837 | 79.60*** |
ν DF Student-t tail thickness | 5.5018 | 1.55 |
Persistence:
0.984
Half-life:
42 days
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