V-Lab: Deutsche Lufthansa AG Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Deutsche Lufthansa AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:22.79% (-0.40%)

Analysis last updated: Saturday, May 18, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1732	7.08
$α$	0.0426	6.26
$β$	0.9308	88.46
$γ_{1}$	-0.0396	-1.28
$γ_{2}$	0.1083	2.13
$γ_{3}$	-0.1484	-4.21
$γ_{4}$	0.1452	5.29
$γ_{5}$	-0.0919	-2.70
$γ_{6}$	0.0307	0.69
$γ_{7}$	0.0167	0.39
$γ_{8}$	-0.1199	-2.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts