V-Lab: BASF SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

BASF SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:25.89% (-0.48%)

Analysis last updated: Tuesday, May 7, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1571	5.78
$α$	0.0703	8.24
$β$	0.8973	76.56
$γ_{1}$	0.0591	3.09
$γ_{2}$	-0.1068	-3.73
$γ_{3}$	0.0868	5.03
$γ_{4}$	-0.0693	-4.64
$γ_{5}$	0.0574	3.90
$γ_{6}$	-0.0402	-3.65

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts