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

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V-Lab

Deutsche Bank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:39.48% (-1.16%)

Analysis last updated: Friday, April 26, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7527	5.23
$α$	0.0580	6.86
$β$	0.9243	92.13
$γ_{1}$	-0.0824	-3.00
$γ_{2}$	0.1493	3.61
$γ_{3}$	-0.1141	-3.94
$γ_{4}$	0.0885	2.92
$γ_{5}$	-0.0996	-2.40

Estimation Period:
Nov 18, 1996 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts