V-Lab
Fresenius Medical Care AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
22.81%
increased by 1.28%
1 Week
22.95%
increased by 1.42%
1 Month
23.48%
increased by 1.95%
Analysis last updated: Saturday, August 22, 2026 at 08:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 3, 1996 to Aug 21, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 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 = 4.45 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 | 3.6407 | 3.87*** |
α ARCH Response to squared shocks | 0.0506 | 35.06*** |
β GARCH Volatility persistence | 0.9918 | 473.65*** |
ν DF Student-t tail thickness | 4.4517 | 10.47*** |
Persistence:
0.992
Half-life:
84 days
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