LANXESS AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
46.23%
increased by 2.45%
1 Week
46.08%
increased by 2.30%
1 Month
45.56%
increased by 1.78%
Analysis last updated: Saturday, October 17, 2026 at 08:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2005 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 62 trading days, meaning a shock loses half its impact after approximately 62 days. Returns follow a Student-t distribution with v = 5.70 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 62-day half-lifev = 5.70 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.1148 | 1.30 |
| αARCH | 0.0545 | 7.54*** |
| βGARCH | 0.9889 | 105.16*** |
| νDF | 5.6962 | 1.55 |
0.989
Persistence62d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.1148 | 1.30 |
α ARCH Response to squared shocks | 0.0545 | 7.54*** |
β GARCH Volatility persistence | 0.9889 | 105.16*** |
ν DF Student-t tail thickness | 5.6962 | 1.55 |
Persistence:
0.989
Half-life:
62 days
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