HeidelbergCement AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
28.15%
increased by 0.75%
1 Week
28.41%
increased by 1.01%
1 Month
29.36%
increased by 1.96%
Analysis last updated: Sunday, October 25, 2026 at 03:00 AM 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 23, 2026Model Insight
Volatility shocks decay with a half-life of 65 trading days, meaning a shock loses half its impact after approximately 65 days. Returns follow a Student-t distribution with v = 5.19 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 65-day half-lifev = 5.19 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 5.9600 | 1.16 |
| αscore | 0.0815 | 8.73*** |
| βpersistence | 0.9893 | 102.47*** |
| νDF | 5.1909 | 2.71*** |
0.989
Persistence65d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 5.9600 | 1.16 |
α score Weight on the scaled score | 0.0815 | 8.73*** |
β persistence Volatility persistence | 0.9893 | 102.47*** |
ν DF Student-t tail thickness | 5.1909 | 2.71*** |
Persistence:
0.989
Half-life:
65 days
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