V-Lab: HeidelbergCement AG MF2-GARCH Volatility Analysis

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V-Lab

HeidelbergCement AG MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:28.45% (+1.41%)

Analysis last updated: Saturday, May 18, 2024 at 11:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	116
$α$	0.0486	22.44
$β$	0.8655	255.25
$γ$	0.0920	25.28
$λ_{1}$	0.0398	8.73
$λ_{2}$	0.0313	8.78
$λ_{3}$	0.9595	211.90

Estimation Period:
Jan 2, 1990 to May 17, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts