Most modern stereos are powered all of the time. However the car tells the stereo to turn off after a few minutes.
This will be true for all VW stereos and I suspect most integrated stereos (ones that work with the steering wheel or dashboard display).
You can get little black boxes which block the signal to turn it off, however the feature is there to protect the engine battery.
Some people have rewired their stereos to work off the leisure battery, but you will still need to block the turn off signal.
If you stereo is not integrated to the other vehicle electronics then it may be a simple setting in a menu somewhere.