Luxembourg Stock Exchange LuxX Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
27.67%
increased by 2.06%
1 Week
27.54%
increased by 1.93%
1 Month
27.04%
increased by 1.43%
Analysis last updated: Saturday, July 11, 2026 at 05:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 63 trading days, meaning a shock loses half its impact after approximately 63 days. Returns follow a Student-t distribution with v = 6.67 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 | 1.6973 | 6.55*** |
α ARCH Response to squared shocks | 0.0641 | 34.35*** |
β GARCH Volatility persistence | 0.9891 | 557.26*** |
ν DF Student-t tail thickness | 6.6727 | 6.15*** |
Persistence:
0.989
Half-life:
63 days
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