V-Lab
Deutsche Lufthansa AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
41.00%
increased by 1.94%
1 Week
40.91%
increased by 1.85%
1 Month
40.57%
increased by 1.51%
Analysis last updated: Sunday, July 26, 2026 at 12:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 70 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 = 5.79 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 | 5.1592 | 4.83*** |
α ARCH Response to squared shocks | 0.0488 | 26.53*** |
β GARCH Volatility persistence | 0.9902 | 443.44*** |
ν DF Student-t tail thickness | 5.7892 | 5.75*** |
Persistence:
0.990
Half-life:
70 days
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