Henkel AG & Co KGaA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
19.27%
1 Week
19.35%
1 Month
19.65%
Analysis last updated: Sunday, October 25, 2026 at 03:09 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 93 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.89 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 2.3328 | 1.10 |
| αscore | 0.0452 | 7.39*** |
| βpersistence | 0.9926 | 141.30*** |
| νDF | 5.8936 | 1.49 |
0.993
Persistence93d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 2.3328 | 1.10 |
α score Weight on the scaled score | 0.0452 | 7.39*** |
β persistence Volatility persistence | 0.9926 | 141.30*** |
ν DF Student-t tail thickness | 5.8936 | 1.49 |
Persistence:
0.993
Half-life:
93 days
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