V-Lab
Deutsche Borse TecDAX Total Return Selection Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
15.65%
1 Week
15.96%
1 Month
17.09%
Analysis last updated: Wednesday, September 9, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Sep 4, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 107 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.89 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.9951 | 1.76* |
| αARCH | 0.0943 | 10.46*** |
| βGARCH | 0.9935 | 260.02*** |
| νDF | 10.8906 | 1.32 |
0.994
Persistence107d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.9951 | 1.76* |
α ARCH Response to squared shocks | 0.0943 | 10.46*** |
β GARCH Volatility persistence | 0.9935 | 260.02*** |
ν DF Student-t tail thickness | 10.8906 | 1.32 |
Persistence:
0.994
Half-life:
107 days
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