V-Lab: Bayer AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:28.82% (-0.85%)

Analysis last updated: Saturday, May 4, 2024 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9680	5.78
$α$	0.0788	7.92
$β$	0.8770	58.56
$γ_{1}$	0.0425	3.04
$γ_{2}$	-0.0751	-3.32
$γ_{3}$	0.0474	3.09
$γ_{4}$	-0.0121	-1.11
$γ_{5}$	-0.0078	-0.90

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts