E.ON SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
20.30%
increased by 0.57%
1 Week
20.49%
increased by 0.76%
1 Month
21.17%
increased by 1.44%
Analysis last updated: Wednesday, October 14, 2026 at 07:55 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 67 trading days, meaning a shock loses half its impact after approximately 67 days. Returns follow a Student-t distribution with v = 5.71 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 67-day half-lifev = 5.71 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.1161 | 1.13 |
| αARCH | 0.0731 | 8.67*** |
| βGARCH | 0.9897 | 101.43*** |
| νDF | 5.7051 | 2.04** |
0.990
Persistence67d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1161 | 1.13 |
α ARCH Response to squared shocks | 0.0731 | 8.67*** |
β GARCH Volatility persistence | 0.9897 | 101.43*** |
ν DF Student-t tail thickness | 5.7051 | 2.04** |
Persistence:
0.990
Half-life:
67 days
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