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 Monday, April 22nd, 2024:27.76% (-0.76%)

Analysis last updated: Saturday, April 20, 2024 at 11:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9768	5.86
$α$	0.0794	7.92
$β$	0.8757	57.92
$γ_{1}$	0.0434	3.12
$γ_{2}$	-0.0763	-3.39
$γ_{3}$	0.0478	3.13
$γ_{4}$	-0.0122	-1.12
$γ_{5}$	-0.0077	-0.89

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts