RWE AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
27.01%
1 Week
27.08%
1 Month
27.37%
Analysis last updated: Thursday, October 22, 2026 at 06:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 179 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.46 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.9377 | 1.12 |
| αscore | 0.0573 | 15.66*** |
| βpersistence | 0.9961 | 291.95*** |
| νDF | 5.4585 | 3.75*** |
0.996
Persistence179d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.9377 | 1.12 |
α score Weight on the scaled score | 0.0573 | 15.66*** |
β persistence Volatility persistence | 0.9961 | 291.95*** |
ν DF Student-t tail thickness | 5.4585 | 3.75*** |
Persistence:
0.996
Half-life:
179 days
Other GAS-GARCH Student T Analyses on International Equities