Deutsche Borse TecDAX Total Return Selection Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 9th, 2026
1 Day
19.71%
increased by 3.07%
1 Week
19.91%
increased by 3.27%
1 Month
20.67%
increased by 4.03%
Analysis last updated: Wednesday, July 8, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Jul 3, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 108 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 = 10.98 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 | 4.0693 | 7.02*** |
α ARCH Response to squared shocks | 0.0956 | 41.99*** |
β GARCH Volatility persistence | 0.9936 | 1,051.44*** |
ν DF Student-t tail thickness | 10.9793 | 5.27*** |
Persistence:
0.994
Half-life:
108 days
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