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

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V-Lab

Siemens AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:23.66% (+0.22%)

Analysis last updated: Saturday, May 4, 2024 at 10:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9462	7.21
$α$	0.0564	6.95
$β$	0.9057	67.91
$γ_{1}$	0.0182	0.27
$γ_{2}$	0.1027	0.93
$γ_{3}$	-0.2033	-2.28
$γ_{4}$	-0.0100	-0.12
$γ_{5}$	0.2695	4.63
$γ_{6}$	-0.3524	-6.76
$γ_{7}$	0.2891	4.87
$γ_{8}$	-0.1523	-2.67
$γ_{9}$	0.0662	1.34
$γ_{10}$	-0.0473	-1.45

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts