V-Lab
ThyssenKrupp AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
43.44%
decreased by 2.07%
1 Week
43.42%
decreased by 2.09%
1 Month
43.35%
decreased by 2.16%
Analysis last updated: Tuesday, July 28, 2026 at 06:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.39 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 | 6.9066 | 4.15*** |
α ARCH Response to squared shocks | 0.0581 | 46.05*** |
β GARCH Volatility persistence | 0.9945 | 765.57*** |
ν DF Student-t tail thickness | 5.3929 | 11.02*** |
Persistence:
0.994
Half-life:
125 days
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