V-Lab
Siemens AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
26.57%
decreased by 0.74%
1 Week
26.61%
decreased by 0.70%
1 Month
26.75%
decreased by 0.56%
Analysis last updated: Wednesday, August 5, 2026 at 06:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 208 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 = 6.06 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 | 4.0129 | 4.98*** |
α ARCH Response to squared shocks | 0.0532 | 61.98*** |
β GARCH Volatility persistence | 0.9967 | 1,557.30*** |
ν DF Student-t tail thickness | 6.0559 | 13.12*** |
Persistence:
0.997
Half-life:
208 days
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