V-Lab
Deutsche Lufthansa AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
42.71%
increased by 0.46%
1 Week
42.59%
increased by 0.34%
1 Month
42.15%
decreased by 0.10%
Analysis last updated: Saturday, August 8, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 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 = 5.77 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 | 5.1747 | 4.79*** |
α ARCH Response to squared shocks | 0.0487 | 26.60*** |
β GARCH Volatility persistence | 0.9903 | 444.88*** |
ν DF Student-t tail thickness | 5.7747 | 5.78*** |
Persistence:
0.990
Half-life:
71 days
Other Deutsche Lufthansa AG Analyses
Other GAS-GARCH Student T Analyses on International Equities