V-Lab
Siemens AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
24.50%
decreased by 1.01%
1 Week
24.56%
decreased by 0.95%
1 Month
24.77%
decreased by 0.74%
Analysis last updated: Tuesday, August 25, 2026 at 06:38 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 0.997, volatility shocks have a half-life of 207 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.05 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 | 3.9953 | 4.97*** |
α ARCH Response to squared shocks | 0.0531 | 61.86*** |
β GARCH Volatility persistence | 0.9967 | 1,550.02*** |
ν DF Student-t tail thickness | 6.0467 | 13.12*** |
Persistence:
0.997
Half-life:
207 days
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