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

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V-Lab

Siemens AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.13% (+0.17%)

Analysis last updated: Saturday, April 20, 2024 at 11:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9614	7.46
$α$	0.0562	6.91
$β$	0.9055	67.45
$γ_{1}$	0.0213	0.32
$γ_{2}$	0.0999	0.90
$γ_{3}$	-0.2027	-2.27
$γ_{4}$	-0.0133	-0.16
$γ_{5}$	0.2746	4.71
$γ_{6}$	-0.3565	-6.79
$γ_{7}$	0.2915	4.90
$γ_{8}$	-0.1546	-2.72
$γ_{9}$	0.0702	1.43
$γ_{10}$	-0.0513	-1.58

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

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Volatility Forecasts

Volatility Forecasts