E.ON SE GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
26.73%
decreased by 0.33%
1 Week
26.75%
decreased by 0.31%
1 Month
26.85%
decreased by 0.21%
Analysis last updated: Thursday, October 22, 2026 at 06:42 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 16, 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 |
|---|---|---|
| ωlong-run | 3.1221 | 1.13 |
| αscore | 0.0732 | 8.67*** |
| βpersistence | 0.9897 | 101.58*** |
| νDF | 5.7140 | 2.04** |
0.990
Persistence67d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.1221 | 1.13 |
α score Weight on the scaled score | 0.0732 | 8.67*** |
β persistence Volatility persistence | 0.9897 | 101.58*** |
ν DF Student-t tail thickness | 5.7140 | 2.04** |
Persistence:
0.990
Half-life:
67 days
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