Volkswagen AG GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
29.89%
decreased by 1.70%
1 Week
30.05%
decreased by 1.54%
1 Month
30.60%
decreased by 0.99%
Analysis last updated: Friday, October 23, 2026 at 06:55 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 42 trading days, meaning a shock loses half its impact after approximately 42 days. Returns follow a Student-t distribution with v = 5.85 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 42-day half-lifev = 5.85 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 4.7359 | 1.69* |
| αscore | 0.0769 | 7.72*** |
| βpersistence | 0.9835 | 92.89*** |
| νDF | 5.8470 | 1.91* |
0.983
Persistence42d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 4.7359 | 1.69* |
α score Weight on the scaled score | 0.0769 | 7.72*** |
β persistence Volatility persistence | 0.9835 | 92.89*** |
ν DF Student-t tail thickness | 5.8470 | 1.91* |
Persistence:
0.983
Half-life:
42 days
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