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

V-Lab

| |

V-Lab

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

Volatility Prediction for Thursday, April 18th, 2024:18.10% (-0.81%)

Analysis last updated: Thursday, April 18, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9215	7.00
$α$	0.1073	9.21
$β$	0.8388	47.89
$γ_{1}$	0.0167	0.44
$γ_{2}$	0.0706	1.24
$γ_{3}$	-0.2699	-6.72
$γ_{4}$	0.3348	8.69
$γ_{5}$	-0.2576	-6.26
$γ_{6}$	0.1570	3.61
$γ_{7}$	-0.0414	-0.90
$γ_{8}$	-0.0515	-1.10
$γ_{9}$	0.0713	2.07

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other DB Financial Investment Co Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH