V-Lab
RWE AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
25.45%
decreased by 1.17%
1 Week
25.54%
decreased by 1.08%
1 Month
25.89%
decreased by 0.73%
Analysis last updated: Saturday, August 22, 2026 at 08:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 180 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.
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GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.9814 | 4.48*** |
α ARCH Response to squared shocks | 0.0575 | 62.87*** |
β GARCH Volatility persistence | 0.9962 | 1,180.29*** |
ν DF Student-t tail thickness | 5.4513 | 15.16*** |
Persistence:
0.996
Half-life:
180 days
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