V-Lab: Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:28.17% (+0.12%)

Analysis last updated: Tuesday, April 23, 2024 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7100	4.55
$α$	0.0596	7.05
$β$	0.9209	90.45
$γ_{1}$	-0.1175	-1.83
$γ_{2}$	0.1307	1.39
$γ_{3}$	0.0690	1.20
$γ_{4}$	-0.1910	-4.02
$γ_{5}$	0.2004	4.57
$γ_{6}$	-0.1505	-3.82
$γ_{7}$	0.0763	2.56

Estimation Period:
Nov 18, 1996 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts