V-Lab
RWE AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
22.46%
1 Week
22.59%
1 Month
23.08%
Analysis last updated: Friday, September 11, 2026 at 07:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 177 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
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.9287 | 1.11 |
| αARCH | 0.0577 | 15.61*** |
| βGARCH | 0.9961 | 288.06*** |
| νDF | 5.4523 | 3.75*** |
0.996
Persistence177d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.9287 | 1.11 |
α ARCH Response to squared shocks | 0.0577 | 15.61*** |
β GARCH Volatility persistence | 0.9961 | 288.06*** |
ν DF Student-t tail thickness | 5.4523 | 3.75*** |
Persistence:
0.996
Half-life:
177 days
Other GAS-GARCH Student T Analyses on International Equities