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

V-Lab

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V-Lab

LANXESS AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:32.75% (-0.95%)

Analysis last updated: Saturday, May 4, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7029	5.17
$α$	0.0732	5.37
$β$	0.8876	41.94
$γ_{1}$	-0.0493	-3.16
$γ_{2}$	0.0756	3.47
$γ_{3}$	-0.0355	-3.39

Estimation Period:
Jan 31, 2005 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts