Deutsche Borse TecDAX Total Return Selection Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
15.35%
1 Week
15.67%
1 Month
16.83%
Analysis last updated: Thursday, October 22, 2026 at 08:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Oct 16, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 106 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 = 10.88 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.9567 | 1.76* |
| αscore | 0.0938 | 10.43*** |
| βpersistence | 0.9935 | 258.86*** |
| νDF | 10.8805 | 1.32 |
0.994
Persistence106d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.9567 | 1.76* |
α score Weight on the scaled score | 0.0938 | 10.43*** |
β persistence Volatility persistence | 0.9935 | 258.86*** |
ν DF Student-t tail thickness | 10.8805 | 1.32 |
Persistence:
0.994
Half-life:
106 days
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