V-Lab: DB Financial Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

DB Financial Investment Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:17.18% (-0.57%)

Analysis last updated: Sunday, April 21, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9224	7.01
$α$	0.1073	9.20
$β$	0.8387	47.81
$γ_{1}$	0.0171	0.46
$γ_{2}$	0.0699	1.23
$γ_{3}$	-0.2695	-6.72
$γ_{4}$	0.3345	8.69
$γ_{5}$	-0.2572	-6.25
$γ_{6}$	0.1567	3.61
$γ_{7}$	-0.0410	-0.89
$γ_{8}$	-0.0520	-1.11
$γ_{9}$	0.0717	2.09

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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