V-Lab
Fresenius Medical Care AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
25.02%
decreased by 0.70%
1 Week
25.12%
decreased by 0.60%
1 Month
25.47%
decreased by 0.25%
Analysis last updated: Sunday, July 26, 2026 at 12:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 3, 1996 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 85 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.48 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 | 3.6508 | 3.88*** |
α ARCH Response to squared shocks | 0.0508 | 35.11*** |
β GARCH Volatility persistence | 0.9918 | 476.16*** |
ν DF Student-t tail thickness | 4.4766 | 10.41*** |
Persistence:
0.992
Half-life:
85 days
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