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 Monday, May 20th, 2024:36.64% (-0.65%)

Analysis last updated: Saturday, May 18, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9799	4.44
$α$	0.0609	8.93
$β$	0.9182	102.34
$γ_{1}$	0.0534	1.34
$γ_{2}$	-0.0049	-0.08
$γ_{3}$	-0.1543	-3.47
$γ_{4}$	0.2107	5.27
$γ_{5}$	-0.1792	-4.29
$γ_{6}$	0.1268	3.20
$γ_{7}$	-0.0853	-2.55
$γ_{8}$	0.0396	1.63

Estimation Period:
Jan 2, 1990 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts