V-Lab: Henkel AG & Co KGaA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Henkel AG & Co KGaA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:29.75% (+12.27%)

Analysis last updated: Saturday, May 4, 2024 at 10:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1861	7.25
$α$	0.0485	6.22
$β$	0.9052	61.03
$γ_{1}$	0.0299	0.43
$γ_{2}$	0.0699	0.63
$γ_{3}$	-0.2260	-3.34
$γ_{4}$	0.1518	3.14
$γ_{5}$	0.0425	0.98
$γ_{6}$	-0.1462	-3.39
$γ_{7}$	0.1026	2.28
$γ_{8}$	-0.0027	-0.05
$γ_{9}$	-0.0579	-0.92
$γ_{10}$	0.0573	1.26

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts