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

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V-Lab

ThyssenKrupp AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:45.31% (-0.47%)

Analysis last updated: Tuesday, May 7, 2024 at 10:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8992	5.68
$α$	0.0718	7.28
$β$	0.8942	61.80
$γ_{1}$	-0.0157	-0.43
$γ_{2}$	0.0827	1.48
$γ_{3}$	-0.1611	-4.18
$γ_{4}$	0.1788	5.00
$γ_{5}$	-0.1432	-4.00
$γ_{6}$	0.0962	2.06
$γ_{7}$	-0.0430	-0.90
$γ_{8}$	-0.0063	-0.22

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts