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

V-Lab

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V-Lab

Deutsche Bank AG Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:33.94% (-0.68%)

Analysis last updated: Saturday, May 18, 2024 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9858	4.56
$α$	0.0615	8.86
$β$	0.9165	99.22
$γ_{1}$	0.0568	1.43
$γ_{2}$	-0.0092	-0.15
$γ_{3}$	-0.1541	-3.53
$γ_{4}$	0.2123	5.43
$γ_{5}$	-0.1788	-4.36
$γ_{6}$	0.1176	2.93
$γ_{7}$	-0.0557	-1.32
$γ_{8}$	-0.0390	-0.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts