Deutsche Borse TecDAX Total Return Selection Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
16.68%
1 Week
16.95%
1 Month
17.98%
Analysis last updated: Friday, October 30, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Oct 30, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 105 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 = 11.04 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 3.9349 | 1.78* |
| αscore | 0.0945 | 10.53*** |
| βpersistence | 0.9934 | 255.37*** |
| νDF | 11.0383 | 1.30 |
0.993
Persistence105d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 3.9349 | 1.78* |
α score Weight on the scaled score | 0.0945 | 10.53*** |
β persistence Volatility persistence | 0.9934 | 255.37*** |
ν DF Student-t tail thickness | 11.0383 | 1.30 |
Persistence:
0.993
Half-life:
105 days
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