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

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V-Lab

Volkswagen AG Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.57% (-0.49%)

Analysis last updated: Sunday, April 21, 2024 at 12:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1759	6.21
$α$	0.0947	8.37
$β$	0.8644	63.58
$γ_{1}$	0.0059	0.16
$γ_{2}$	0.0472	0.79
$γ_{3}$	-0.1400	-3.62
$γ_{4}$	0.1828	6.11
$γ_{5}$	-0.1811	-5.56
$γ_{6}$	0.1321	4.06
$γ_{7}$	-0.0511	-1.89
$γ_{8}$	-0.0011	-0.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts