Fresenius Medical Care AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
30.40%
1 Week
30.39%
1 Month
30.38%
Analysis last updated: Thursday, October 22, 2026 at 06:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 3, 1996 to Oct 16, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 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 = 4.43 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.6478 | 0.97 |
| αscore | 0.0507 | 8.66*** |
| βpersistence | 0.9917 | 116.11*** |
| νDF | 4.4342 | 2.61*** |
0.992
Persistence83d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.6478 | 0.97 |
α score Weight on the scaled score | 0.0507 | 8.66*** |
β persistence Volatility persistence | 0.9917 | 116.11*** |
ν DF Student-t tail thickness | 4.4342 | 2.61*** |
Persistence:
0.992
Half-life:
83 days
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