Deutsche Borse SDAX Performance Index (XETRA) GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
16.45%
decreased by 0.70%
1 Week
16.52%
decreased by 0.63%
1 Month
16.77%
decreased by 0.38%
Analysis last updated: Tuesday, July 14, 2026 at 07:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 5, 2013 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 26 trading days, meaning a shock loses half its impact after approximately 26 days. Returns follow a Student-t distribution with v = 9.50 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2675 | 10.97*** |
α ARCH Response to squared shocks | 0.1041 | 24.45*** |
β GARCH Volatility persistence | 0.9739 | 344.27*** |
ν DF Student-t tail thickness | 9.4968 | 3.54*** |
Persistence:
0.974
Half-life:
26 days
Other Deutsche Borse SDAX Performance Index (XETRA) Analyses
Other GAS-GARCH Student T Analyses on Equity Indices