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

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V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:28.56% (-0.88%)

Analysis last updated: Friday, April 19, 2024 at 11:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9714	5.81
$α$	0.0792	7.93
$β$	0.8761	58.19
$γ_{1}$	0.0430	3.08
$γ_{2}$	-0.0758	-3.35
$γ_{3}$	0.0476	3.10
$γ_{4}$	-0.0119	-1.09
$γ_{5}$	-0.0079	-0.91

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts