V-Lab
ThyssenKrupp AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
46.57%
1 Week
46.52%
1 Month
46.33%
Analysis last updated: Saturday, September 19, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 126 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.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.9415 | 1.04 |
| αARCH | 0.0579 | 11.58*** |
| βGARCH | 0.9945 | 193.30*** |
| νDF | 5.3936 | 2.77*** |
0.995
Persistence126d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.9415 | 1.04 |
α ARCH Response to squared shocks | 0.0579 | 11.58*** |
β GARCH Volatility persistence | 0.9945 | 193.30*** |
ν DF Student-t tail thickness | 5.3936 | 2.77*** |
Persistence:
0.995
Half-life:
126 days
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