V-Lab
RWE AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
22.27%
1 Week
22.40%
1 Month
22.90%
Analysis last updated: Tuesday, October 6, 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 2, 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 = 5.45 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.9327 | 1.12 |
| αARCH | 0.0574 | 15.66*** |
| βGARCH | 0.9961 | 291.27*** |
| νDF | 5.4505 | 3.76*** |
0.996
Persistence179d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.9327 | 1.12 |
α ARCH Response to squared shocks | 0.0574 | 15.66*** |
β GARCH Volatility persistence | 0.9961 | 291.27*** |
ν DF Student-t tail thickness | 5.4505 | 3.76*** |
Persistence:
0.996
Half-life:
179 days
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